Properties of a Fourier bootstrap method for time series

被引：10

作者：

Braun, WJ

Kulperger, NJ

机构：

[1] UNIV WINNIPEG,WINNIPEG,MB R3B 2E9,CANADA

[2] UNIV WESTERN ONTARIO,LONDON,ON N6A 5B9,CANADA

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1997年 / 26卷 / 06期

基金：

加拿大自然科学与工程研究理事会;

关键词：

FFT; Gaussian processes; central limit theorem; prediction;

D O I：

10.1080/03610929708831985

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A method for bootstrapping stationary Gaussian sequences is studied. The FFT is applied to the original data, randomized in the frequency domain, and the inverse FFT is applied. The result is a sequence whose second order properties are similar to those of the original sequence. Conditions under which the method is valid are given.

引用

页码：1329 / 1336

页数：8

共 8 条

[1]

Billingsley P., 1986, PROBABILITY MEASURE

[2]

Billingsley P, 1968, CONVERGE PROBAB MEAS

[3]

BRAUN WJ, 1995, FOURIER METHOD BOOTS

[4]

Brockwell P. J., 1991, TIME SERIES THEORY M

[5]

Hjorth J.S.U., 1994, COMPUTER INTENSIVE S

[6]

NORDGAARD A, 1992, LECT NOTES ECON MATH, V376, P181

[7] TESTING FOR NONLINEARITY IN TIME-SERIES - THE METHOD OF SURROGATE DATA [J].

THEILER, J ;

EUBANK, S ;

LONGTIN, A ;

GALDRIKIAN, B ;

FARMER, JD .

PHYSICA D, 1992, 58 (1-4) :77-94

[8] BOOTSTRAP - MORE THAN A STAB IN THE DARK [J].

YOUNG, GA .

STATISTICAL SCIENCE, 1994, 9 (03) :382-395

← 1 →