Browsing by Subject "Locally stationary processes"

Now showing items 1-4 of 4

    • Article  

      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 ...
    • Article  

      Bootstrapping the local periodogram of locally stationary processes 

      Sergides, M.; Paparoditis Efstathios, E. (2008)
      Locally stationary processes are non-stationary stochastic processes the second-order structure of which varies smoothly over time. In this paper, we develop a method to bootstrap the local periodogram of a locally stationary ...
    • Article  

      Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series 

      Krampe, J.; Kreiss, J. -P; Paparoditis Efstathios, E. (2015)
      Based on consistency and asymptotic normality of a nonparametric kernel trend estimation in the context of locally stationary processes, validity of a hybrid wild bootstrap approach for estimating the distribution of the ...
    • Article  

      Validating stationarity assumptions in time series analysis by rolling local periodograms 

      Paparoditis Efstathios, E. (2010)
      We propose a simple and powerful procedure to validate the assumption of weak stationarity in time series analysis. Our focus is on processes with a slowly varying autocovariance structure. The procedure evaluates the ...