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The moving Fourier transformation of locally stationary processes with application to bootstrap procedures

Lindner, Franziska

In applications, many time series can be described using the class of locally stationary processes (Dahlhaus (1997)). In this work existing Fourier-based bootstrap methods are extended to this setting using a moving Fourier transform, correctly mimicking the local structure of the process. Asymptotic properties of the corresponding Fourier transform are derived. Using these properties the covariance structure of the bootstrap sample is shown to be asymptotically correct.

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DOI: 10.5445/IR/1000040805
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Publikationsjahr 2014
Sprache Englisch
Identifikator urn:nbn:de:swb:90-408050
KITopen-ID: 1000040805
Verlag KIT, Karlsruhe
Art der Arbeit Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 16.04.2014
Referent/Betreuer JProf. C. Kirch
Schlagwörter Locally stationary time series, bootstrap, TFT, uniform confidence bands
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