The Annals of Statistics

On Bootstrapping Kernel Spectral Estimates

J. Franke and W. Hardle

Full-text: Open access

Abstract

An approach to bootstrapping kernel spectral density estimates is described which is based on resampling from the periodogram of the original data. We show that it is asymptotically valid under suitable conditions, and we illustrate its performance for a medium-sized time series sample with a small simulation study.

Article information

Source
Ann. Statist., Volume 20, Number 1 (1992), 121-145.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176348515

Digital Object Identifier
doi:10.1214/aos/1176348515

Mathematical Reviews number (MathSciNet)
MR1150337

Zentralblatt MATH identifier
0757.62048

JSTOR
links.jstor.org

Subjects
Primary: 62M15: Spectral analysis
Secondary: 62G05: Estimation

Keywords
Bootstrap time series kernel spectral estimate periodogram bandwidth selection

Citation

Franke, J.; Hardle, W. On Bootstrapping Kernel Spectral Estimates. Ann. Statist. 20 (1992), no. 1, 121--145. doi:10.1214/aos/1176348515. https://projecteuclid.org/euclid.aos/1176348515


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