On bootstrapping kernel spectral estimates

DOI10.1214/AOS/1176348515MaRDI QIDQ1192961zbMATH OpenOpenAlexFDO

Authors Jürgen Franke, Wolfgang K. Härdle

Publication date 27 September 1992

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

Full work available at URL https://doi.org/10.1214/aos/1176348515

zbMATH Keywords

bootstraptime seriesconfidence intervalsresamplingbandwidth selectionperiodogramMonte-Carlo simulationconfidence limitslocal bandwidthkernel spectral density estimator

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(72)

• An adaptively resized parametric bootstrap for inference in high-dimensional generalized linear models
• Multiplier subsample bootstrap for statistics of time series
• A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
• Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra
• Cosine-based variable bandwidth selection for nonparametric spectral density estimation under long-range dependence
• Bootstrap confidence intervals for conditional density function in Markov processes
• Bootstrap-based bandwidth choice for log-periodogram regression
• Hybrid bootstrap aided unit root testing
• Bootstrap inference in functional linear regression models with scalar response
• Resampling a nonlinear regression model in the frequency domain
• Resampling the autocovariance estimator in stationary gaussian processes
• A frequency domain bootstrap for general multivariate stationary processes
• Bootstrapping the Local Periodogram of Locally Stationary Processes
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Is the North Atlantic Oscillation just a pink noise?
• Sum of the sample autocorrelation function
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• Bootstrap optimal bandwidth selection for kernel density estimates
• Frequency domain bootstrap for the fractional cointegration regression
• A bootstrap approximation for the distribution of the local Whittle estimator
• Simultaneous confidence bands in spectral density estimation
• The periodogram at the Fourier frequencies
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
• Bootstrapping spectra: methods, comparisons and application to knock data
• Estimation of the population spectrum with replicated time series.
• Automatic spectral density estimation for random fields on a lattice via bootstrap
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Better Bootstrap Confidence Intervals for Regression Curve Estimation
• Bootstrap long memory processes in the frequency domain
• The maximum of the periodogram of a non-Gaussian sequence.
• A resampling method for regression models with serially correlated errors
• Test to compare two population logspectra
• Asymptotic spectral theory for nonlinear time series
• PEAK-INSENSITIVE NON-PARAMETRIC SPECTRUM ESTIMATION
• Goodness of fit for lattice processes
• LOGSPLINE ESTIMATION OF A POSSIBLY MIXED SPECTRAL DISTRIBUTION
• Bootstrap confidence bands for spectra and cross-spectra
• Extending the validity of frequency domain bootstrap methods to general stationary processes
• A test for a difference between spectral peak frequencies.
• The Hybrid Wild Bootstrap for Time Series
• Subsampling for heteroskedastic time series
• Testing for structural change in regression with long memory processes
• Consistency of the frequency domain bootstrap for differentiable functionals
• Frequency domain bootstrap for ratio statistics under long-range dependence
• An alternative bootstrap to moving blocks for time series regression models
• Parametric polyspectrum density estimation using the bootstrap method
• Bootstrap methods for dependent data: a review
• Frequency domain bootstrap methods for random fields
• Nonparametric resampling for stationary Markov processes: the local grid bootstrap approach
• Frequency domain inference for univariate impulse responses
• Nonparametric high resolution spectral estimation
• Recent developments in bootstrapping time series
• RATE OF CONVERGENCE FOR LOGSPLINE SPECTRAL DENSITY ESTIMATION
• Bootstraps for time series
• Inference for the fourth-order innovation cumulant in linear time series
• Bootstrapping the mode
• Spectral analysis with replicated time series
• A simple bootstrap method for time series
• Bootstrap Methods for Time Series
• A bootstrap causality test for covariance stationary processes
• Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
• Testing equality of spectral density operators for functional processes
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Optimal window width choice in spectral density estimation
• The local bootstrap for Markov processes
• Testing temporal constancy of the spectral structure of a time series
• A robust test for serial correlation in panel data models
• On the range of validity of the autoregressive sieve bootstrap
• Bootstrap specification tests for linear covariance stationary processes
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Autoregressive-aided periodogram bootstrap for time series

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