The local bootstrap for periodogram statisticsAAA
Date
1999Source
Journal of Time Series AnalysisVolume
20Issue
2Pages
193-222Google Scholar check
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A bootstrap procedure for the periodogram of a weakly dependent stationary sequence is proposed. The method works by locally resampling the periodogram ordinates and does not require estimation of the spectral density and of frequency domain residuals obtained by means of initial smoothing. Asymptotic properties of the proposed bootstrap procedure are studied and consistency is proved for interesting classes of statistics including ratio statistics, kernel estimates of the spectral density and parameter estimates. Some practical aspects concerning the implementation of the method are also discussed.