Bootstrap long memory processes in the frequency domain

DOI10.1214/20-AOS2006MaRDI QIDQ820805zbMATH OpenOpenAlexFDO

Authors Javier Hidalgo

Publication date 28 September 2021

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

Full work available at URL https://doi.org/10.1214/20-aos2006

zbMATH Keywords

long memoryfrequency domainbootstrap methods

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Diagnostics, and linear inference and regression (62J20) Nonparametric statistical resampling methods (62G09) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 3528866 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
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• The bootstrap and Edgeworth expansion
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• Weak convergence of multivariate fractional processes

Cited in

(7)

• scientific article; zbMATH DE number 51142 (Why is no real title available?)
• A frequency domain bootstrap for Whittle estimation under long-range dependence
• Frequency domain bootstrap for ratio statistics under long-range dependence
• A tail index estimation for long memory processes
• Tests of long memory: a bootstrap approach
• Higher-order improvements of the sieve bootstrap for fractionally integrated processes
• A generalised fractional differencing bootstrap for long memory processes

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