Moving Fourier Analysis for Locally Stationary Processes with the Bootstrap in View

DOI10.1111/JTSA.12241zbMath1416.62492OpenAlexW2619476373MaRDI QIDQ4596430

Franziska Häfner, Claudia Kirch

Publication date: 1 December 2017

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12241

zbMATH Keywords

Fourier analysisfrequency domain bootstraplocally stationary time serieslocal spectral density estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09)

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Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis

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