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October 1996 A frequency domain bootstrap for ratio statistics in time series analysis
R. Dahlhaus, D. Janas
Ann. Statist. 24(5): 1934-1963 (October 1996). DOI: 10.1214/aos/1069362304


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.


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R. Dahlhaus. D. Janas. "A frequency domain bootstrap for ratio statistics in time series analysis." Ann. Statist. 24 (5) 1934 - 1963, October 1996.


Published: October 1996
First available in Project Euclid: 20 November 2003

zbMATH: 0867.62072
MathSciNet: MR1421155
Digital Object Identifier: 10.1214/aos/1069362304

Primary: 62M10
Secondary: 62E20

Keywords: Autocorrelations , bootstrap , periodogram ordinates , ratio statistics , spectral mean , time series , Whittle estimators

Rights: Copyright © 1996 Institute of Mathematical Statistics


Vol.24 • No. 5 • October 1996
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