Simultaneous inference for autocovariances based on autoregressive sieve bootstrap

DOI10.1111/JTSA.12604MaRDI QIDQ5012852zbMATH OpenOpenAlexFDO

Authors Alexander Braumann, Marco Meyer, Jens-Peter Kreiß

Publication date 25 November 2021

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12604

zbMATH Keywords

autocovarianceautoregressive sieve bootstrapsimultaneous confidence bandsspectral densitystationary process

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Extending the range of validity of the autoregressive (sieve) bootstrap
• Portmanteau test and simultaneous inference for serial covariances
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Detecting relevant deviations from the white noise assumption for non-stationary time series

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