Bootstrapping Locally Stationary Processes

DOI10.1111/rssb.12068zbMath1414.62049OpenAlexW2016040111MaRDI QIDQ5379909

Efstathios Paparoditis, Jens-Peter Kreiss

Publication date: 14 June 2019

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

Full work available at URL: https://doi.org/10.1111/rssb.12068

zbMATH Keywords

bootstrapweak convergencekernel estimationperiodogramlocally stationary processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Central limit and other weak theorems (60F05) Sampling theory, sample surveys (62D05) Stationary stochastic processes (60G10) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (10)

Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series ⋮ A bootstrap functional central limit theorem for time-varying linear processes ⋮ Towards a general theory for nonlinear locally stationary processes ⋮ The local partial autocorrelation function and some applications ⋮ Indirect inference for locally stationary models ⋮ On inference validity of weighted U-statistics under data heterogeneity ⋮ The hierarchical spectral merger algorithm: a new time series clustering procedure ⋮ Bootstrap methods for dependent data: a review ⋮ Minimum distance estimation of locally stationary moving average processes ⋮ Simultaneous inference for time-varying models

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