A new mixing notion and functional central limit theorems for a sieve bootstrap in time series

DOI10.2307/3318711zbMath0954.62102OpenAlexW2086795288MaRDI QIDQ1301750

Peter J. Bickel, Peter Bühlmann

Publication date: 29 January 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1172617198

zbMATH Keywords

linear processesARMAsmooth bootstrapautoregressive approximationstrong-mixingAR(\(\infty\))MA(\(\infty\))

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Functional limit theorems; invariance principles (60F17)

Related Items

Bootstraps for time series, Greedy algorithms for prediction, A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov–Smirnov Type Statistic, DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY, WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS, Moving-average representation of autoregressive approximations, Some recent theory for autoregressive count time series, Characteristic function-based hypothesis tests under weak dependence, Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence, Asymptotic distribution of the wavelet-based estimators of multivariate regression functions under weak dependence, Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours, Random central limit theorems for linear processes with weakly dependent innovations, On the range of validity of the autoregressive sieve bootstrap, Testing for boundary conditions in case of fractionally integrated processes, Measure-invariance of copula functions as tool for testing no-arbitrage assumption, Qualitative robustness of estimators on stochastic processes, Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes, Sieve bootstrap for smoothing in nonstationary time series, Stationarity and geometric ergodicity of BEKK multivariate GARCH models, Nonlinear autoregressive sieve bootstrap based on extreme learning machines, Time series clustering based on forecast densities, Bootstrap methods for dependent data: a review, Bootstrap-based ARMA order selection, Concentration of weakly dependent Banach-valued sums and applications to statistical learning methods, Weak dependence beyond mixing and asymptotics for nonparametric regression, A new covariance inequality and applications.