Properties of a fourier bootstrap method for time series

DOI10.1080/03610929708831985zbMath0920.62057OpenAlexW2063927874MaRDI QIDQ4226836

W. John Braun, Reg J. Kulperger

Publication date: 23 February 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708831985

zbMATH Keywords

predictionGaussian processfast Fourier transformcentral limit theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items

Frequency domain bootstrap for the fractional cointegration regression ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Phase randomisation: numerical study of higher cumulants behaviour.

Cites Work

• Testing for nonlinearity in time series: the method of surrogate data
• Bootstrap: more than a stab in the dark? With discussion and a rejoinder by the author
• Unnamed Item
• Unnamed Item