Wavestrapping time series: Adaptive wavelet-based bootstrapping

MaRDI QIDQ2712152zbMATH OpenFDO

Authors Donald B. Percival, S. Sardy, A. C. Davison

Publication date 19 September 2002

zbMATH Keywords

autocorrelation sequencesbootstrappingdiscrete wavelet transformMonte Carlo experimentsstationary time series modelswavestrapping

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05) Numerical methods for wavelets (65T60) Estimation and detection in stochastic control theory (93E10)

Review text

The paper begins with a review of stationary time series models and current approaches for bootstrapping time series followed by basic ideas related to the discrete wavelet transform. Then, the use of the discrete wavelet transform for decorrelating long memory processes as a bootstrapping scheme whose effectiveness is demonstrated via Monte Carlo experiments is presented. As for stationary long memory processes bootstrapping is known not to work properly, the authors introduce ``wavestrapping as an adaptive wavelet-based scheme for bootstrapping certain statistics for time series that can be modeled by either long or short memory autocorrelation sequences. Monte Carlo experiments are used to show that wavestrapping works reasonably well in both cases. Examples, including one involving time series related to atmospheric behaviour, are given, and a discussion of open questions and future work is finally presented.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00020].

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