A General Resampling Scheme for Triangular Arrays of α-Mixing Random Variables with Application to the Problem of Spectral Density Estimation

In 1989 Kunsch introduced a modified bootstrap and jackknife for a statistic which is used to estimate a parameter of the m-dimensional joint distribution of stationary and α-mixing observations. The modification amounts to resampling whole blocks of consecutive observations, or deleting whole blocks one at a time. Liu and Singh independently proposed (in 1988) the same technique for observations that are m-dependent. However, many time-series statistics, notably estimators of the spectral density function, involve parameters of the whole (infinite-dimensional) joint distribution and, hence, do not fit in this framework. In this report we generalize the "moving blocks" resampling scheme of Kunsch and Liu and Singh; a still modified version of the nonparametric bootstrap and jackknife is seen to be valid for general linear statistics that are asymptotically normal and consistent for a parameter of the whole joint distribution. We then apply this result to the problem of estimation of the spectral density.