Dahlhaus, Rainer ; Janas, Daniel
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Abstract
We prove that Efron's bootstrap applied to the sample ofstudentized periodogram ordinates works quite well for ratio statistics,e.g. estimates for the autocorrelations. The bootstrap approximation for the distribution of these statistics is accurate to the order o 1/SQRT(T)a.s. As a consequence this result carries over to the Whittle estimates.Some simulation studies are reported for a medium-sized stretch of atime series.
Document type: | Working paper |
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Place of Publication: | Heidelberg |
Date Deposited: | 20 Jun 2016 08:20 |
Date: | 1996 |
Number of Pages: | 35 |
Faculties / Institutes: | The Faculty of Mathematics and Computer Science > Institut für Mathematik |
DDC-classification: | 310 General statistics 510 Mathematics |
Uncontrolled Keywords: | Autocorrelations; bootstrap; periodogram ordinates; ratio statistics; spectral mean; time series; Whittle estimators |
Series: | Beiträge zur Statistik > Beiträge |
Additional Information: | Arbeitstitel: Efron's Bootstrap for Ratio Statistics in Time Series Analysis auch erschienen in: The Annals of Statistics (1996), Vol. 24, No. 5, p. 1934-1963. |