eprintid: 21347
rev_number: 14
eprint_status: archive
userid: 2326
dir: disk0/00/02/13/47
datestamp: 2016-06-20 08:20:40
lastmod: 2016-06-20 13:07:27
status_changed: 2016-06-20 08:20:40
type: workingPaper
metadata_visibility: show
creators_name: Dahlhaus, Rainer
creators_name: Janas, Daniel
title: A frequency domain bootstrap for ration statistics in time series analysis
subjects: ddc-310
subjects: ddc-510
divisions: i-110400
keywords: Autocorrelations; bootstrap; periodogram ordinates; ratio statistics; spectral mean; time
series; Whittle estimators
note: 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.
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.
date: 1996
id_scheme: DOI
id_number: 10.11588/heidok.00021347
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 13
ppn_swb: 1657240452
own_urn: urn:nbn:de:bsz:16-heidok-213474
language: eng
bibsort: DAHLHAUSRAAFREQUENCY1996
full_text_status: public
place_of_pub: Heidelberg
pages: 35
citation:   Dahlhaus, Rainer ; Janas, Daniel  (1996) A frequency domain bootstrap for ration statistics in time series analysis.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/21347/1/beitrag.13.pdf