Resampling the autocovariance estimator in stationary gaussian processes

DOI10.1080/03610929708832010zbMath0954.62560OpenAlexW1987544499MaRDI QIDQ4269926

Jan Christoffersson

Publication date: 10 November 1999

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

Full work available at URL: https://doi.org/10.1080/03610929708832010

zbMATH Keywords

bootstrapfrequency domainautocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

• On bootstrapping kernel spectral estimates
• On errors of normal approximation
• On the validity of the formal Edgeworth expansion
• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap
• VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES

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