Extending the validity of frequency domain bootstrap methods to general stationary processes

DOI10.1214/19-AOS1892MaRDI QIDQ2215743zbMATH OpenOpenAlexFDO

Authors Marco Meyer, Efstathios Paparoditis, Jens-Peter Kreiß

Publication date 14 December 2020

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aos/1597370678

zbMATH Keywords

bootstrapperiodogramspectral meansstationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Review text

The paper focuses on the development of a hybrid periodogram bootstrap (HPB) and on a convolved subsampling approach called the convolved bootstrapped periodograms of subsamples (CBP). The HPB is a new frequency domain bootstrap method that combines features from a special multiplicative approach and the CBP procedure. The second section is devoted to the presentation of some results on spectral means and ratio statistics and specifies the assumptions imposed on the stochastic process. The hybrid bootstrap procedure is developed in the third section. HBP is conceived as a hybrid of two procedures. The one is the already known multiplicative periodogram bootstrap (MPB) and the second one is the new algorithm developed in the paper, the CBP. In the fourth section the asymptotic validity is investigated. Simulation results are more extensively discussed and are to be found in the last section.

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Cites work

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Cited in

(22)

• Bootstrap maximum likelihood estimation of the parameter in spectral density of stationary processes
• Autoregressive-aided periodogram bootstrap for time series
• A frequency domain bootstrap for Whittle estimation under long-range dependence
• Frequency domain bootstrap methods for random fields
• Frequency domain bootstrap for ratio statistics under long-range dependence
• Consistency of the frequency domain bootstrap for differentiable functionals
• Bootstrapping bispectra: an application to testing for departure from Gaussianity of stationary signals
• scientific article; zbMATH DE number 1944039 (Why is no real title available?)
• Simultaneous inference for autocovariances based on autoregressive sieve bootstrap
• Local Whittle estimation of long-range dependence for functional time series
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• A frequency domain bootstrap for general multivariate stationary processes
• Multiplier subsample bootstrap for statistics of time series
• Statistical analysis of irregularly spaced spatial data in frequency domain
• A blockwise empirical likelihood method for time series in frequency domain inference
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Wiener-type integral approximation for sampling distributions of irregularly spaced spatial data
• Frequency domain local bootstrap in short and long memory time series
• Asymptotic theory of principal component analysis for time series data with cautionary comments
• Skip sampling: subsampling in the frequency domain
• A Practical Interval Estimation Method for Spectral Density Function
• AR-sieve bootstrap for high-dimensional time series

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