Bootstrap long memory processes in the frequency domain

DOI10.1214/20-AOS2006zbMATH Open1473.62141OpenAlexW3110862606MaRDI QIDQ820805FDOQ820805

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

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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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Cited In (7)

• Title not available (Why is that?)
• 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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