Block Bootstrap for the Empirical Process of Long‐Range Dependent Data

DOI10.1111/JTSA.12256MaRDI QIDQ4604005zbMATH OpenOpenAlexFDO

Authors Johannes Tewes

Publication date 23 February 2018

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

Full work available at URL https://arxiv.org/abs/1601.01122

zbMATH Keywords

block bootstrapempirical processGaussian subordinationKolmogorov-Smirnov statisticlong-range dependencesmoothed empirical process

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10)

Abstract: We consider long-range dependent data. It is shown that the bootstrapped empirical process of these data converges to a semi-degenerate limit. The random part of this limit is always Gaussian. Thus the bootstrap might fail when the original empirical process accomplishes a noncentral limit theorem.

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Cited in

(4)

• On the moving block bootstrap under long range dependence
• Properties of a block bootstrap under long-range dependence
• Estimating the mean direction of strongly dependent circular time series
• Quantilograms under strong dependence

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Uses Software

• kerdiest

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