The Annals of Statistics
- Ann. Statist.
- Volume 24, Number 5 (1996), 1934-1963.
A frequency domain bootstrap for ratio statistics in time series analysis
The asymptotic properties of the bootstrap in the frequency domain based on Studentized periodogram ordinates are studied. It is proved that this bootstrap approximation is valid for ratio statistics such as autocorrelations. By using Edgeworth expansions it is shown that the bootstrap approximation even outperforms the normal approximation. The results carry over to Whittle estimates. In a simulation study the behavior of the bootstrap is studied for empirical correlations and Whittle estimates.
Ann. Statist. Volume 24, Number 5 (1996), 1934-1963.
First available in Project Euclid: 20 November 2003
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62E20: Asymptotic distribution theory
Dahlhaus, R.; Janas, D. A frequency domain bootstrap for ratio statistics in time series analysis. Ann. Statist. 24 (1996), no. 5, 1934--1963. doi:10.1214/aos/1069362304. https://projecteuclid.org/euclid.aos/1069362304.