Subsampling in testing autocovariance for periodically correlated time series

DOI10.1111/j.1467-9892.2008.00591.xzbMath1194.62064OpenAlexW1618686821MaRDI QIDQ3552861

Łukasz Lenart, Jacek Leśkow, Rafał Synowiecki

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00591.x

zbMATH Keywords

consistencymixing properties

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (13)

Generalized seasonal tapered block bootstrap ⋮ A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes ⋮ A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES ⋮ Subsampling for nonstationary time series with non-zero mean function ⋮ Asymptotic distributions and subsampling in spectral analysis for almost periodically correlated time series ⋮ Generalized subsampling procedure for non-stationary time series ⋮ Subsampling for continuous-time almost periodically correlated processes ⋮ Block bootstrap for periodic characteristics of periodically correlated time series ⋮ Block Bootstrap for the Autocovariance Coefficients of Periodically Correlated Time Series ⋮ Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series ⋮ Block Bootstrap for Poisson‐Sampled Almost Periodic Processes ⋮ Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series ⋮ Resampling Methods for Time Series Level Crossings

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Cyclostationarity: half a century of research
• Estimation of the Fourier coefficient functions and their spectral densities for \(\phi\)-mixing almost periodically correlated processes
• Testing stationarity for stock market data
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• Correlation theory of almost periodically correlated processes
• Functional limit theory for the spectral covariance estimator
• Nonparametric time series analysis for periodically correlated processes
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
• Testing for periodic autocorrelations in seasonal time series data
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