Szczegóły publikacji
Opis bibliograficzny
Block bootstrap for periodic characteristics of periodically correlated time series / Anna E. DUDEK // Journal of Nonparametric Statistics ; ISSN 1048-5252. — 2018 — vol. 30 no. 1, s. 87–124. — Bibliogr. s. 116–117, Abstr. — Publikacja dostępna online od: 2017-11-26
Autor
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 112253 |
|---|---|
| Data dodania do BaDAP | 2018-02-08 |
| Tekst źródłowy | URL |
| DOI | 10.1080/10485252.2017.1404060 |
| Rok publikacji | 2018 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Journal of Nonparametric Statistics |
Abstract
This research is dedicated to the study of periodic characteristics of periodically correlated time series such as seasonal means, seasonal variances and autocovariance functions. Two bootstrap methods are used: the extension of the usual Moving Block Bootstrap (EMBB) and the Generalised Seasonal Block Bootstrap (GSBB). The first approach is proposed, because the usual Moving Block Bootstrap does not preserve the periodic structure contained in the data and cannot be applied for the considered problems. For the aforementioned periodic characteristics the bootstrap estimators are introduced and consistency of the EMBB in all cases is obtained. Moreover, the GSBB consistency results for seasonal variances and autocovariance function are presented. Additionally, the bootstrap consistency of both considered techniques for smooth functions of the parameters of interest is obtained. Finally, the simultaneous bootstrap confidence intervals are constructed. A simulation study to compare their actual coverage probabilities is provided. A real data example is presented. © American Statistical Association and Taylor & Francis 2017
