scientific article; zbMATH DE number 758454

MaRDI QIDQ4834283zbMATH OpenFDO

Authors H. R. Künsch, Peter Bühlmann

Publication date 28 May 1995

zbMATH Keywords

ARMA parameterblockwise bootstrapcentral limit theoremestimators defined by functionalsmartingale differencesnonparametric spectral estimationresamplingsecond-order correctnessshift indicesspectral distributionspectral estimatorsstationary time seriesstrong-mixing sequence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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• Bootstraps for time series
• Bootstrapping continuous-time autoregressive processes
• Consistency and application of moving block bootstrap for non-stationary time series with periodic and almost periodic structure
• Block Bootstrap for the Autocovariance Coefficients of Periodically Correlated Time Series
• Generalized seasonal tapered block bootstrap
• First and second order analysis for periodic random arrays using block bootstrap methods
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• Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
• On studentising and blocklength selection for the bootstrap on time series
• Prepivoting composite score statistics by weighted bootstrap iteration
• Bootstrapping pre-averaged realized volatility under market microstructure noise
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