TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain

DOI10.1214/10-AOS868zbMath1220.62107arXiv1211.4732MaRDI QIDQ638798

Claudia Kirch, Dimitris N. Politis

Publication date: 14 September 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.4732

zbMATH Keywords

surrogate datanonlinear processesfunctional limit theoremspectral density estimationperiodogramunit root testingfrequency domain bootstrapchange-point analysisratio statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09) Functional limit theorems; invariance principles (60F17)

Related Items

Bootstrap long memory processes in the frequency domain ⋮ The multiple hybrid bootstrap -- resampling multivariate linear processes ⋮ Evaluating stationarity via change-point alternatives with applications to fMRI data ⋮ Asymptotic spectral theory for spatial data ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Statistical inference of spectral estimation for continuous-time MA processes with finite second moments ⋮ On the range of validity of the autoregressive sieve bootstrap ⋮ Consistency of the frequency domain bootstrap for differentiable functionals ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ Data-driven shrinkage of the spectral density matrix of a high-dimensional time series ⋮ The Hybrid Wild Bootstrap for Time Series ⋮ Bootstrap confidence intervals for multiple change points based on moving sum procedures ⋮ Change-point detection in panel data via double CUSUM statistic ⋮ Extensions of some classical methods in change point analysis ⋮ 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 ⋮ Diagnostics for the bootstrap and fast double bootstrap ⋮ Comments on: ``Extensions of some classical methods in change point analysis

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Testing for nonlinearity in time series: the method of surrogate data
• Weighted least squares estimators on the frequency domain for the parameters of a time series
• The empirical distribution of Fourier coefficients
• Time series: theory and methods.
• On bootstrapping kernel spectral estimates
• Bootstrap methods: another look at the jackknife
• Change-point in the mean of dependent observations
• Second-order correctness of the blockwise bootstrap for stationary observations
• A frequency domain bootstrap for ratio statistics in time series analysis
• Effect of dependence on statistics for determination of change
• Detection of changes in linear sequences
• Resampling methods for dependent data
• An alternative bootstrap to moving blocks for time series regression models
• A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
• Autoregressive-aided periodogram bootstrap for time series
• Bootstraps for time series
• A note on Studentized confidence intervals for the change-point
• Block permutation principles for the change analysis of dependent data
• Asymptotic spectral theory for nonlinear time series
• Surrogate Data — A Qualitative and Quantitative Analysis
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Inference For Autocorrelations Under Weak Assumptions
• BootstrapMUnit Root Tests
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Some theoretical properties of phase-randomized multivariate surrogates
• Testing for a unit root in time series regression
• Properties of a fourier bootstrap method for time series
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• A Sieve Bootstrap For The Test Of A Unit Root
• Adaptive bandwidth choice
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Time Series Regression with a Unit Root
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• The Local Bootstrap for Periodogram Statistics
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• Resampling in the frequency domain of time series to determine critical values for change-point tests
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Unit Root Tests
• A Note on Asymptotic Joint Normality
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• The impact of bootstrap methods on time series analysis