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Robust Autocorrelation Estimation
(2016)
In this article, we introduce a new class of robust autocorrelation estimators based on interpreting the sample autocorrelation function as a linear regression. We investigate the efficiency and robustness properties of ...
Aggregation of spectral density estimators
(2014)
Given stationary time series data, we study the problem of finding the best linear combination of a set of lag window spectral density estimators with respect to the mean squared risk. We present an aggregation procedure ...
Bootstrap with larger resample size for root-n consistent density estimation with time series data
(2011)
We consider finite-order moving average and nonlinear autoregressive processes with no parametric assumption on the error distribution, and present a kernel density estimator of a bootstrap series that estimates their ...
Subsampling p-values
(2010)
A construction of p-values for hypothesis tests based on subsampling and the related m out of n bootstrap is introduced. The p-values are based on a modification of the usual subsampling hypothesis tests that involves an ...
A bootstrap test for time series linearity
(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) ...