Wavelet-Based Bootstrap for Time Series Analysis

DOI10.1081/SAC-200055722MaRDI QIDQ5460715zbMATH OpenFDO

Authors Huaguang Feng, Thomas R. Willemain, Nong Shang

Publication date 18 July 2005

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/SAC-200055722

zbMATH Keywords

long memorylong-range dependencestandard error

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A general resampling scheme for triangular arrays of -mixing random variables with application to the problem of spectral density estimation
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Bootstrap methods: another look at the jackknife
• Bootstrap Prediction Intervals for Autoregression
• Bootstrapping time series models
• Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• scientific article; zbMATH DE number 842531 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 914370 (Why is no real title available?)
• On blocking rules for the bootstrap with dependent data
• ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
• On the asymptotic accuracy of Efron's bootstrap
• On the moving block bootstrap under long range dependence
• Sieve Bootstrap With Variable-Length Markov Chains for Stationary Categorical Time Series
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap
• The threshold bootstrap and threshold jackknife
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion
• Wavelet analysis and synthesis of fractional Brownian motion
• Wavestrapping time series: Adaptive wavelet-based bootstrapping

Cited in

(4)

• Estimating the confidence interval of evolutionary stochastic process mean from wavelet based bootstrapping
• Wavestrapping time series: Adaptive wavelet-based bootstrapping
• Evaluating the GPH estimator via bootstrap technique
• Undercoverage of Wavelet-Based Resampling Confidence Intervals

Describes a project that uses

Uses Software

• longmemo

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