Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

DOI10.1111/jtsa.12604zbMath1476.62179OpenAlexW3168952684MaRDI QIDQ5012852

Marco Meyer, Alexander Braumann, Jens-Peter Kreiss

Publication date: 25 November 2021

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

Full work available at URL: https://doi.org/10.1111/jtsa.12604

zbMATH Keywords

stationary processspectral densityautocovariancesimultaneous confidence bandsautoregressive sieve bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

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