On the range of validity of the autoregressive sieve bootstrap

DOI10.1214/11-AOS900zbMath1227.62067arXiv1201.6211MaRDI QIDQ651026

Dimitris N. Politis, Jens-Peter Kreiss, Efstathios Paparoditis

Publication date: 8 December 2011

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

Full work available at URL: https://arxiv.org/abs/1201.6211

zbMATH Keywords

time seriesautoregression

Mathematics Subject Classification ID

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

Related Items (53)

Bootstrap long memory processes in the frequency domain ⋮ Model-free bootstrap for a general class of stationary time series ⋮ Discussion: Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices ⋮ Sieve-based inference for infinite-variance linear processes ⋮ Nonparametric Anomaly Detection on Time Series of Graphs ⋮ Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Discriminating between long-range dependence and non-stationarity ⋮ Nonparametric confidence intervals for location in time series data ⋮ Normality tests for dependent data: large-sample and bootstrap approaches ⋮ Simultaneous bootstrap for all three parameters in random coefficient autoregressive models ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap ⋮ Bootstrap-assisted tests of symmetry for dependent data ⋮ Representation theorems in finite prediction, with applications ⋮ A testing approach to clustering scalar time series ⋮ A test of the long memory hypothesis based on self-similarity ⋮ A frequency domain bootstrap for general multivariate stationary processes ⋮ Bootstrap rank tests for trend in time series ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ A test for stationarity based on empirical processes ⋮ Extending the validity of frequency domain bootstrap methods to general stationary processes ⋮ A review of empirical likelihood methods for time series ⋮ Baxter's inequality for triangular arrays ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Sieve bootstrap for functional time series ⋮ Bootstrapping INAR models ⋮ Valid Resampling of Higher-Order Statistics Using the Linear Process Bootstrap and Autoregressive Sieve Bootstrap ⋮ Lasso Inference for High-Dimensional Time Series ⋮ Inference for the Fourth-Order Innovation Cumulant in Linear Time Series ⋮ Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis ⋮ Closed-form expression for finite predictor coefficients of multivariate ARMA processes ⋮ Nonlinear autoregressive sieve bootstrap based on extreme learning machines ⋮ Bootstrap methods for dependent data: a review ⋮ Computational framework for longevity risk management ⋮ Discussion on: ``Bootstrap methods for dependent data: a review ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ On Local Power Properties of Frequency Domain‐based Tests for Stationarity ⋮ Improved Seasonal Mann–Kendall Tests for Trend Analysis in Water Resources Time Series ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Predictive Inference for Locally Stationary Time Series With an Application to Climate Data ⋮ Recent Developments in Bootstrap Methods for Dependent Data ⋮ On the Vector Autoregressive Sieve Bootstrap ⋮ Methods to compute prediction intervals: a review and new results ⋮ High-dimensional autocovariance matrices and optimal linear prediction ⋮ Simultaneous inference for autocovariances based on autoregressive sieve bootstrap ⋮ Consistent autoregressive spectral estimates: Nonlinear time series and large autocovariance matrices ⋮ Spectral methods for small sample time series: A complete periodogram approach ⋮ The asymptotic size and power of the augmented Dickey–Fuller test for a unit root ⋮ Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes ⋮ Testing the existence of moments for GARCH processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Rank-based estimation for all-pass time series models
• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Asymptotic normality of spectral estimates
• A norm inequality for a 'finite-section' Wiener-Hopf equation
• Time series: theory and methods.
• On bootstrapping kernel spectral estimates
• Weak convergence of dependent empirical measures with application to subsampling in function spaces
• A new mixing notion and functional central limit theorems for a sieve bootstrap in time series
• A frequency domain bootstrap for ratio statistics in time series analysis
• Sieve bootstrap for time series
• Resampling methods for dependent data
• Autoregressive-aided periodogram bootstrap for time series
• Asymptotic theory of statistical inference for time series
• A new weak dependence condition and applications to moment inequalities
• The jackknife and the bootstrap for general stationary observations
• Bootstraps for time series
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• Asymptotic spectral theory for nonlinear time series
• Introduction to time series.
• Inference For Autocorrelations Under Weak Assumptions
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Resampling and Subsampling for Financial Time Series
• An Asymptotic Result for the Finite Predictor.
• TIME-REVERSIBILITY, IDENTIFIABILITY AND INDEPENDENCE OF INNOVATIONS FOR STATIONARY TIME SERIES
• ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
• The impact of bootstrap methods on time series analysis

This page was built for publication: On the range of validity of the autoregressive sieve bootstrap