Estimated Wold Representation and Spectral-Density-Driven Bootstrap for Time Series

DOI10.1111/RSSB.12267zbMath1398.62236arXiv1712.07371OpenAlexW2963537082MaRDI QIDQ4962086

Efstathios Paparoditis, Jens-Peter Kreiss, Jonas Krampe

Publication date: 30 October 2018

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.07371

zbMATH Keywords

bootstraplinear processesspectral density estimationmoving average representationWold representationnon-deterministic stationary processesspectral density factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Stationary stochastic processes (60G10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (5)

A prediction perspective on the Wiener–Hopf equations for time series ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Estimating wold matrices and vector moving average processes ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models ⋮ Spectral methods for small sample time series: A complete periodogram approach

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