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Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series

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  • A. Dudek

Abstract

In the paper the consistency of the circular block bootstrap for the coefficients of the autocovariance function of almost periodically correlated time series is proved. The pointwise and the simultaneous bootstrap equal-tailed confidence intervals for these coefficients are constructed. Application of the results to detect the second-order significant frequencies is provided. The simulation and real data examples are also presented. Copyright Springer-Verlag Berlin Heidelberg 2015

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  • A. Dudek, 2015. "Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(3), pages 313-335, April.
    • Handle: RePEc:spr:metrik:v:78:y:2015:i:3:p:313-335
    DOI: 10.1007/s00184-014-0505-9
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    References listed on IDEAS

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    1. Jacek Leśkow & Rafał Synowiecki, 2010. "On bootstrapping periodic random arrays with increasing period," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(3), pages 253-279, May.
    2. Hurd, Harry L. & Leskow, Jacek, 1992. "Estimation of the Fourier coefficient functions and their spectral densities for \gf-mixing almost periodically correlated processes," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 299-306, July.
    3. Lenart, Łukasz, 2013. "Non-parametric frequency identification and estimation in mean function for almost periodically correlated time series," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 252-269.
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    Cited by:

    1. Łukasz Lenart, 2016. "Generalized Resampling Scheme With Application to Spectral Density Matrix in Almost Periodically Correlated Class of Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 369-404, May.

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