A frequency domain bootstrap for general multivariate stationary processes

DOI10.3150/22-BEJ1545MaRDI QIDQ6160981zbMATH OpenOpenAlexFDO

Authors Marco Meyer, Efstathios Paparoditis

Publication date 2 June 2023

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.01943, https://projecteuclid.org/journals/bernoulli/volume-29/issue-3/A-frequency-domain-bootstrap-for-general-multivariate-stationary-processes/10.3150/22-BEJ1545.full

zbMATH Keywords

bootstrapperiodogramspectral meansstationary processes

Mathematics Subject Classification ID

Parametric inference (62Fxx) Nonparametric inference (62Gxx) Inference from stochastic processes (62Mxx)

Abstract: For many relevant statistics of multivariate time series, no valid frequency domain bootstrap procedures exist. This is mainly due to the fact that the distribution of such statistics depends on the fourth-order moment structure of the underlying process in nearly every scenario, except for some special cases like Gaussian time series. In contrast to the univariate case, even additional structural assumptions such as linearity of the multivariate process or a standardization of the statistic of interest do not solve the problem. This paper focuses on integrated periodogram statistics as well as functions thereof and presents a new frequency domain bootstrap procedure for multivariate time series, the multivariate frequency domain hybrid bootstrap (MFHB), to fill this gap. Asymptotic validity of the MFHB procedure is established for general classes of periodogram-based statistics and for stationary multivariate processes satisfying rather weak dependence conditions. A simulation study is carried out which compares the finite sample performance of the MFHB with that of the moving block bootstrap.

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Cited in

(6)

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• A frequency domain bootstrap for Whittle estimation under long-range dependence
• Frequency domain bootstrap for ratio statistics under long-range dependence
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• A Bootstrap Algorithm for Data from a Periodic Multiplicative Intensity Function
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