The multiple hybrid bootstrap -- resampling multivariate linear processes

DOI10.1016/j.jmva.2010.06.005zbMath1198.62036OpenAlexW2074150142MaRDI QIDQ604348

Carsten Jentsch, Jens-Peter Kreiss

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.06.005

zbMATH Keywords

kernel estimatorsdiscrete Fourier transformsample meanCholesky decompositionfrequency domain bootstrapspectral density matrixautocovariance matrixmultivariate bootstrapmultivariate linear time series

Mathematics Subject Classification ID

Related Items (11)

A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes ⋮ A frequency domain bootstrap for general multivariate stationary processes ⋮ Bootstrapping continuous-time autoregressive processes ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Data-driven shrinkage of the spectral density matrix of a high-dimensional time series ⋮ The Hybrid Wild Bootstrap for Time Series ⋮ Valid Resampling of Higher-Order Statistics Using the Linear Process Bootstrap and Autoregressive Sieve Bootstrap ⋮ Hybrid bootstrap aided unit root testing ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis ⋮ Bootstrap methods for dependent data: a review ⋮ Frequency domain bootstrap methods for random fields

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