The Annals of Statistics
- Ann. Statist.
- Volume 31, Number 6 (2003), 1923-1955.
Autoregressive-aided periodogram bootstrap for timeseries
A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates that imitate the essential features of the data and the weak dependence structure of the periodogram while a nonparametric (kernel-based) correction is applied in order to catch features not represented by the parametric fit. The asymptotic theory developed shows validity of the proposed bootstrap procedure for a large class of periodogram statistics. For important classes of stochastic processes, validity of the new procedure is also established for periodogram statistics not captured by existing frequency domain bootstrap methods based on independent periodogram replicates.
Ann. Statist., Volume 31, Number 6 (2003), 1923-1955.
First available in Project Euclid: 16 January 2004
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62G09: Resampling methods
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Kreiss, Jens-Peter; Paparoditis, Efstathios. Autoregressive-aided periodogram bootstrap for timeseries. Ann. Statist. 31 (2003), no. 6, 1923--1955. doi:10.1214/aos/1074290332. https://projecteuclid.org/euclid.aos/1074290332