Properties of a fourier bootstrap method for time series

DOI10.1080/03610929708831985MaRDI QIDQ4226836zbMATH OpenOpenAlexFDO

Authors W. John Braun, Reg J. Kulperger

Publication date 23 February 1999

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929708831985

zbMATH Keywords

central limit theoremfast Fourier transformGaussian processprediction

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for discrete and fast Fourier transforms (65T50)

Recommendations

• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
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Cites work

• Bootstrap: more than a stab in the dark? With discussion and a rejoinder by the author
• scientific article; zbMATH DE number 700041 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Testing for nonlinearity in time series: the method of surrogate data

Cited in

(4)

• Frequency domain bootstrap for the fractional cointegration regression
• A Bootstrap Algorithm for Data from a Periodic Multiplicative Intensity Function
• Phase randomisation: numerical study of higher cumulants behaviour.
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain

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