On Bootstrapping Kernel Spectral Estimates
Open Access
- 1 March 1992
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 20 (1) , 121-145
- https://doi.org/10.1214/aos/1176348515
Abstract
An approach to bootstrapping kernel spectral density estimates is described which is based on resampling from the periodogram of the original data. We show that it is asymptotically valid under suitable conditions, and we illustrate its performance for a medium-sized time series sample with a small simulation study.Keywords
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