Properties of a Fourier bootstrap method for time series

Communications in Statistics - Theory and Methods

Volumn 26, Issue 6, 1997, Pages 1329-1336

  Braun, W J ^a   Kulperger, R J ^b  

^a UNIVERSITY OF WINNIPEG   (Canada)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Central limit theorem; FFT; Gaussian processes; Prediction

Indexed keywords

ALGORITHMS; FREQUENCY DOMAIN ANALYSIS; MATHEMATICAL MODELS; RANDOM PROCESSES;

BOOTSTRAPPING; GAUSSIAN PROCESSES;

FAST FOURIER TRANSFORMS;

EID: 0031380292     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929708831985     Document Type: Article

References (8)

1. Billingsley, P. (1968) Convergence of Probability Measures New York: Wiley.
2. Billingsley, P. (1986) Probability and Measure, 2nd Edition New York: Wiley.
3. Braun, W.J. and Kulperger, R.J. (1995) "A Fourier method for bootstrapping time series." (preprint)
4. Brockwell, P.J. and Davis, R.A. (1991) Time Series: Theory and Methods, 2nd Edition New York: Springer-Verlag.
5. Hjorth, J.S.U. (1994) Computer Intensive Statistical Methods. London: Chapman and Hall.
6. Nordgaard, A. (1992) "Resampling stochastic processes using a bootstrap approach." Lecture Notes in Economics and Mathematical Systems, 376, 181-185.
7. Theiler, J., Eubank, S., Longtin, A., Galdrikan, B. and Farmer, J.D. (1992) "Testing for nonlinearity in time series: the method of surrogate data." Physica D 58 77-94.
8. Young, G. A. (1994) "Bootstrap: More than a stab in the dark?" Statist. Sci. 9 382-415.