Browsing by Author "Paparoditis Efstathios, E."
Now showing items 1-20 of 89
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AAA Note on the Behaviour of Nonparametric Density and Spectral Density Estimators at Zero Points of their Support
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2015)The asymptotic behaviour of nonparametric estimators of the stationary density and of the spectral density function of a stationary process have been studied in some detail in the last 50-60years. Nevertheless, less is ...
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Article
The asymptotic size and power of the augmented Dickey–Fuller test for a unit root
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2016)It is shown that the limiting distribution of the augmented Dickey–Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR(∞) process ...
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Article
The asymptotic size and power of the augmented Dickey–Fuller test for a unit rootAAA
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2016)It is shown that the limiting distribution of the augmented Dickey–Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR(∞) process ...
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Article
Autoregressive aided periodogram bootstrap for time series
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse; Kreiß, Jens-Peter; Paparoditis Efstathios, E. (2001)A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to ...
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Article
Autoregressive-aided periodogram bootstrap for time series
Kreiss, J. -P; Paparoditis Efstathios, E. (2003)A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to ...
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Article
Bandwidth selection for functional time series prediction
Antoniadis, Anestis; Paparoditis Efstathios, E.; Sapatinas, Theofanis (2009)We propose a method to select the bandwidth for functional time series prediction. The idea underlying this method is to calculate the empirical risk of prediction using past segments of the observed series and to select ...
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Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
Jentsch, C.; Politis, Dimitris Nicolas; Paparoditis Efstathios, E. (2015)We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme ...
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Article
Block bootstrap theory for multivariate integrated and cointegrated processes
Jentsch, Carsten; Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2014)We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme ...
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Article
Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
Jentsch, Carsten; Politis, Dimitris Nicolas; Paparoditis Efstathios, E.; Cavaliere, Giuseppe; Politis, Dimitris Nicolas; Rahbek, Anders (2014)
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Bootstrap hypothesis testing in regression models
Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2005)The paper investigates how the particular choice of residuals used in a bootstrap-based testing procedure affects the properties of the test. The properties of the tests are investigated both under the null and under the ...
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Article
Bootstrap methods for dependent data: A review
Kreiss, J. -P; Paparoditis Efstathios, E. (2011)This paper gives a review on a variety of bootstrap methods for dependent data. The main focus is not on an exhaustive listing and description of bootstrap procedures but on general principles which should be taken into ...
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A bootstrap test for time series linearity
Berg, A.; Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2010)A bootstrap algorithm is proposed for testing Gaussianity and linearity in stationary time series, and consistency of the relevant bootstrap approximations is proven rigorously for the first time. Subba Rao and Gabr (1980) ...
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Book
Ein Bootstrap Verfahren zur Approximation der Verteilung der Stichprobenvektorkorrelationen
Institut für Quantitative Ökonomik und Statistik, Freie Universität Berlin; Paparoditis Efstathios, E. (1988)
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Bootstrap-based testing of equality of mean functions or equality of covariance operators for functional data
Paparoditis Efstathios, E.; Sapatinas, Theofanis (2016)We investigate the properties of a simple bootstrap method for testing the equality of mean functions or of covariance operators in functional data. Theoretical size and power results are derived for certain test statistics, ...
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Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
Paparoditis Efstathios, E. (1996)We consider an r-dimensional multivariate time series {yt, t∈Z} which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via ...
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Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
Dette, H.; Paparoditis Efstathios, E. (2009)We propose a general bootstrap procedure to approximate the null distribution of non-parametric frequency domain tests about the spectral density matrix of a multivariate time series. Under a set of easy-to-verify conditions, ...
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Book
Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
Dette, Holger; Paparoditis Efstathios, E. (Univ., SFB 475, 2008)
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Book
Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
Weissbach, Rafael; Paparoditis Efstathios, E. (Univ., SFB 475, 2008)We propose a general bootstrap procedure to approximate the null distribution of nonparametric frequency domain tests about the spectral density matrix of a multivariate time series. Under a set of easy to verify conditions, ...
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Bootstrapping locally stationary processes
Kreiss, J. -P; Paparoditis Efstathios, E. (2015)We propose a non-parametric method to bootstrap locally stationary processes which combines a time domain wild bootstrap approach with a non-parametric frequency domain approach. The method generates pseudotime series which ...
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Article
Bootstrapping locally stationary processes
Kreiss, Jens‐Peter; Paparoditis Efstathios, E. (2014)