The multiple hybrid bootstrap -- resampling multivariate linear processes

DOI10.1016/J.JMVA.2010.06.005MaRDI QIDQ604348zbMATH OpenOpenAlexFDO

Authors Carsten Jentsch, Jens-Peter Kreiß

Publication date 10 November 2010

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2010.06.005

zbMATH Keywords

Cholesky decompositiondiscrete Fourier transformkernel estimatorsfrequency domain bootstrapsample meanspectral density matrixautocovariance matrixmultivariate bootstrapmultivariate linear time series

Mathematics Subject Classification ID

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

Recommendations

• The Hybrid Wild Bootstrap for Time Series
• Autoregressive-aided periodogram bootstrap for time series
• Extending the validity of frequency domain bootstrap methods to general stationary processes
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Cites work

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• On bootstrapping kernel spectral estimates
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• Resampling methods for dependent data
• Some asymptotic theory for the bootstrap
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Testing the Fit of a Vector Autoregressive Moving Average Model
• The Local Bootstrap for Periodogram Statistics
• The jackknife and the bootstrap for general stationary observations

Cited in

(16)

• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• A frequency domain bootstrap for general multivariate stationary processes
• The Hybrid Wild Bootstrap for Time Series
• Asymptotics for autocovariances and integrated periodograms for linear processes observed at lower frequencies
• Extending the validity of frequency domain bootstrap methods to general stationary processes
• Autoregressive-aided periodogram bootstrap for time series
• A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
• Valid Resampling of Higher-Order Statistics Using the Linear Process Bootstrap and Autoregressive Sieve Bootstrap
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• Bootstrap methods for dependent data: a review
• Frequency domain bootstrap methods for random fields
• Hybrid bootstrap aided unit root testing
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Some properties of the autoregressive-aided block bootstrap
• Bootstrapping continuous-time autoregressive processes
• Data-driven shrinkage of the spectral density matrix of a high-dimensional time series

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