Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series

DOI10.1016/J.SPL.2015.03.003zbMATH Open1328.62524OpenAlexW2066612195MaRDI QIDQ893910FDOQ893910

Authors: Jonas Krampe, Jens-Peter Kreiß, Efstathios Paparoditis 

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.03.003

Recommendations

• Bootstrapping locally stationary processes
• The Hybrid Wild Bootstrap for Time Series
• Local block bootstrap inference for trending time series
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Bootstrap in nonstationary autoregression.

zbMATH Keywords

bootstrapkernel estimationlocally stationary processestrend function

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• Non-parametric curve estimation by wavelet thresholding with locally stationary errors
• Bootstrapping locally stationary processes
• Introduction to nonparametric estimation
• Sieve bootstrap for smoothing in nonstationary time series
• Validating stationarity assumptions in time series analysis by rolling local periodograms
• On the Kullback-Leibler information divergence of locally stationary processes
• Nonparametric regression for locally stationary time series
• Fourier and wavelet analysis
• Bootstrapping the Local Periodogram of Locally Stationary Processes
• A central limit theorem for triangular arrays of weakly dependent random variables, with applications in statistics
• Local block bootstrap

Cited In (4)

• Bootstrap based inference for sparse high-dimensional time series models
• The Hybrid Wild Bootstrap for Time Series
• Local block bootstrap inference for trending time series
• Autoregressive wild bootstrap inference for nonparametric trends

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