Autoregressive-Aided Periodogram Bootstrap for Time Series

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...

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Veröffentlicht in:	The Annals of statistics 2003-12, Vol.31 (6), p.1923-1955
Hauptverfasser:	Kreiss, Jens-Peter, Paparoditis, Efstathios
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied statistics Approximation Bootstrap and Jackknife Methods Bootstrap method Bootstrap resampling Density estimation Estimators Exact sciences and technology Inference from stochastic processes time series analysis Mathematics Nonparametric inference Probability and statistics Random variables Regression analysis Sciences and techniques of general use Spectral energy distribution Statistical variance Statistics Studies Time series
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