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)

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Cites work

• A frequency domain bootstrap for ratio statistics in time series analysis
• Asymptotic spectral theory for nonlinear time series
• Autoregressive-aided periodogram bootstrap for time series
• Bootstrap methods: another look at the jackknife
• Confidence intervals for spectral mean and ratio statistics
• Convolved subsampling estimation with applications to block bootstrap
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3963031 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Limiting behavior of functionals of higher-order sample cumulant spectra
• On a spectral density estimate obtained by averaging periodograms
• On bootstrapping kernel spectral estimates
• On estimation of the integrals of the fourth order cumulant spectral density
• On the range of validity of the autoregressive sieve bootstrap
• PERIODOGRAM ANALYSIS AND CONTINUOUS SPECTRA
• The Hybrid Wild Bootstrap for Time Series
• The Local Bootstrap for Periodogram Statistics
• Time series: theory and methods.

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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