Moving Fourier analysis for locally stationary processes with the bootstrap in view

DOI10.1111/JTSA.12241MaRDI QIDQ4596430zbMATH OpenOpenAlexFDO

Authors Franziska Häfner, Claudia Kirch

Publication date 1 December 2017

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

Full work available at URL https://doi.org/10.1111/jtsa.12241

zbMATH Keywords

Fourier analysisfrequency domain bootstraplocal spectral density estimationlocally stationary time series

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Bootstrapping the Local Periodogram of Locally Stationary Processes
• Bootstrapping locally stationary processes
• The Local Bootstrap for Periodogram Statistics
• Locally stationary functional time series
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain

Cited in

(4)

• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Bootstrapping the Local Periodogram of Locally Stationary Processes
• Bootstrapping locally stationary processes
• Bayesian Nonparametric Spectral Analysis of Locally Stationary Processes

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