Skip navigation

Frequency Domain Bootstrap Methods For Time Series

Authors: Hurvich, Clifford M.
Zeger, Scott
Keywords: Statistics, Operations Research, Bootstrap Methods
Issue Date: Feb-1987
Publisher: New York University Graduate School of Business Administration
Series/Report no.: Working Paper Series Statistics/OR;87-14
Abstract: Two frequency domain bootstrap methods for weakly stationary time series will be proposed. The motivations for the proposed methods will be discussed, and the performance of the first method will be compared with that of a recently proposed method of Swanpoel and van Wyk, in a Monte Carol study. It is found that, when applied to the problem of estimating the variance of a log spectrum estimate, all methods under consideration can sometimes perform poorly. Overall, the frequency domain method used in conjunction with automatic spectrum estimate choice criterion developed by Hurvich, is found to perform best.
Appears in Collections:Interlibrary Loan Collection

Files in This Item:
File Description SizeFormat 
123.pdfFrequency Domain Bootstrap Methods /Hurvich3.26 MBAdobe PDFView/Open

Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.