Electronic Journal of Statistics

Generalized subsampling procedure for non-stationary time series

Łukasz Lenart

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Abstract

In this paper, we propose a generalization of the subsampling procedure for non-stationary time series. The proposed generalization is simply related to the usual subsampling procedure. We formulate the sufficient conditions for the consistency of such a generalization. These sufficient conditions are a generalization of those presented for the usual subsampling procedure for non-stationary time series. Finally, we demonstrate the consistency of the generalized subsampling procedure for the Fourier coefficient in mean expansion of Almost Periodically Correlated time series.

Article information

Source
Electron. J. Statist., Volume 12, Number 2 (2018), 3875-3907.

Dates
Received: July 2017
First available in Project Euclid: 5 December 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1543979029

Digital Object Identifier
doi:10.1214/18-EJS1503

Subjects
Primary: 62G09: Resampling methods 62G20: Asymptotic properties 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]

Keywords
Generalized subsampling procedure non-stationary time series subsampling consistency almost periodically correlated time series

Rights
Creative Commons Attribution 4.0 International License.

Citation

Lenart, Łukasz. Generalized subsampling procedure for non-stationary time series. Electron. J. Statist. 12 (2018), no. 2, 3875--3907. doi:10.1214/18-EJS1503. https://projecteuclid.org/euclid.ejs/1543979029


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