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A frequency domain bootstrap for ration statistics in time series analysis

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.

Item Type: Working paper
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 > Department of Applied Mathematics
Subjects: 310 General statistics
510 Mathematics
Uncontrolled Keywords: Autocorrelations; bootstrap; periodogram ordinates; ratio statistics; spectral mean; time series; Whittle estimators
Schriftenreihe ID: 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.
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