The multiple hybrid bootstrap -- resampling multivariate linear processes

DOI10.1016/J.JMVA.2010.06.005zbMATH Open1198.62036OpenAlexW2074150142MaRDI QIDQ604348FDOQ604348

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

Cholesky decompositiondiscrete Fourier transformkernel estimatorsfrequency domain bootstrapsample meanspectral density matrixautocovariance matrixmultivariate bootstrapmultivariate linear time series

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (12)

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

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