Frequency Domain Bootstrap for Time Series

The paper discusses frequency domain bootstrap methods for time series including some recent developments. Attention is focused on nonparametric resampling methods of the periodogram and their application to statistical inference in the frequency domain.

[1]  Anders Nordgaard Resampling Stochastic Processes using a Bootstrap Approach , 1992 .

[2]  James Theiler,et al.  Detecting Nonlinearity in Data with Long Coherence Times , 1993, comp-gas/9302003.

[3]  Rainer Dahlhaus Asymptotic normality of spectral estimates , 1985 .

[4]  Karl-Heinz Jöckel,et al.  Bootstrapping and Related Techniques , 1992 .

[5]  T. W. Anderson Goodness of Fit Tests for Spectral Distributions , 1993 .

[6]  D. Freedman,et al.  Some Asymptotic Theory for the Bootstrap , 1981 .

[7]  W. J. Braun,et al.  Properties of a fourier bootstrap method for time series , 1997 .

[8]  M. Falk,et al.  Bootstrapping Conditional Curves , 1992 .

[9]  J. A. Hartigan Perturbed periodogram estimates of variance , 1990 .

[10]  Efstathios Paparoditis,et al.  Spectral Density Based Goodness-of-Fit Tests for Time Series Models , 2000 .

[11]  H. Künsch The Jackknife and the Bootstrap for General Stationary Observations , 1989 .

[12]  D. Politis,et al.  The Local Bootstrap for Periodogram Statistics , 1999 .

[13]  Joseph P. Romano,et al.  Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain , 1999 .

[14]  Masanobu Taniguchi,et al.  Minimum Contrast Estimation for Spectral Densities of Stationary Processes , 1987 .

[15]  R. Dahlhaus,et al.  Spectral Domain Bootstrap Tests for Stationary Time Series , 1999 .

[16]  Regina Y. Liu Moving blocks jackknife and bootstrap capture weak dependence , 1992 .

[17]  D. Freedman On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Models , 1984 .

[18]  R. Dahlhaus,et al.  Empirical Spectral Processes and Nonparametric Maximum Likelihood Estimation for Time Series , 2002 .

[19]  J. Swanepoel,et al.  The bootstrap applied to power spectral density function estimation , 1986 .

[20]  Richard A. Davis,et al.  Time Series: Theory and Methods , 2013 .

[21]  Joseph P. Romano Bootstrapping the mode , 1988 .

[22]  J. Franke,et al.  BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS , 1992 .

[23]  R. Dahlhaus,et al.  A frequency domain bootstrap for ratio statistics in time series analysis , 1996 .

[24]  Efstathios Paparoditis,et al.  The Local Bootstrap for Kernel Estimators under General Dependence Conditions , 2000 .

[25]  T. W. Anderson,et al.  Statistical analysis of time series , 1972 .

[26]  Andreas S. Weigend,et al.  Time Series Prediction: Forecasting the Future and Understanding the Past , 1994 .

[27]  D. B. Preston Spectral Analysis and Time Series , 1983 .

[28]  Wolfgang Härdle,et al.  On Bootstrapping Kernel Spectral Estimates , 1992 .

[29]  Dragan Radulovic,et al.  On the Bootstrap and Empirical Processes for Dependent Sequences , 2002 .