Bootstrapping the Local Periodogram of Locally Stationary Processes

DOI10.1111/J.1467-9892.2007.00556.XMaRDI QIDQ3608198zbMATH OpenOpenAlexFDO

Authors Marios Sergides, Efstathios Paparoditis

Publication date 28 February 2009

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00556.x

zbMATH Keywords

autoregressive processeslocally stationary processesspectral means

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A frequency domain bootstrap for ratio statistics in time series analysis
• Autoregressive-aided periodogram bootstrap for time series
• Consistent autoregressive spectral estimates
• Fitting time series models to nonstationary processes
• Local block bootstrap
• On bootstrapping kernel spectral estimates
• On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series
• The Local Bootstrap for Periodogram Statistics
• The SLEX model of a non-stationary random process
• Time series: theory and methods.
• Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra

Cited in

(14)

• Simultaneous variable selection and structural identification for time‐varying coefficient models
• Frequency domain tests of semiparametric hypotheses for locally stationary process
• Bootstrapping locally stationary processes
• Towards a general theory for nonlinear locally stationary processes
• A bootstrap functional central limit theorem for time-varying linear processes
• Record length requirement of long-range dependent teletraffic
• Testing semiparametric hypotheses in locally stationary processes
• Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series
• Moving Fourier analysis for locally stationary processes with the bootstrap in view
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• Bootstrap methods for dependent data: a review
• An updated review of goodness-of-fit tests for regression models
• A local version of the Muckenhoupt condition and the accuracy of estimation of an unknown pseudoperiodic function in stationary noise
• Measuring the degree of non-stationarity of a time series

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