Szczegóły publikacji
Opis bibliograficzny
Bootstrapping the autocovariance of PC time series - a simulation study / Anna E. DUDEK, Paweł POTORSKI // W: Cyclostationarity: theory and methods – IV : contributions to the 10th Workshop on Cyclostationary systems and their applications : February 2017, Grodek, Poland / eds. Fakher Chaari, Jacek Leskow, Radosław Zimroz, Agnieszka Wyłomańska, Anna Dudek. — Cham : Springer Nature Switzerland AG, cop. 2020. — (Applied Condition Monitoring ; ISSN 2363-698X ; vol. 16). — ISBN: 978-3-030-22528-5; e-ISBN: 978-3-030-22529-2. — S. 41–55. — Bibliogr. s. 54–55, Abstr. — A. Dudek - dod. afiliacja: Université Rennes, France
Autorzy (2)
Dane bibliometryczne
| ID BaDAP | 123662 |
|---|---|
| Data dodania do BaDAP | 2019-09-11 |
| DOI | 10.1007/978-3-030-22529-2_3 |
| Rok publikacji | 2020 |
| Typ publikacji | materiały konferencyjne (aut.) |
| Otwarty dostęp |  |
| Wydawca | Springer |
| Konferencja | 10th Workshop on Cyclostationary Systems and Their Applications |
| Czasopismo/seria | Applied Condition Monitoring |
Abstract
In this paper a simulation comparison of the bootstrap confidence intervals for the coefficients of the autocovariance function of a periodically correlated time series is provided. Two bootstrap methods are used: the circular version of the Extension of Moving Block Bootstrap and the circular version of the Generalized Seasonal Block Bootstrap. The bootstrap pointwise and simultaneous confidence intervals for the real and the imaginary parts of the Fourier coefficients of the autocovariance function are constructed. The actual coverage probabilities, the average lengths and the average upper and lower quantiles values are calculated. On the basis of the performed simulation, the choice of the block length that is an integer multiple of the period length is advised when the Moving Block Bootstrap is used. Moreover, two methods for the block length choice designed for stationary data: the Minimum Volatility Method and the approach based on the logarithm of quantile are verified not to be valid for periodic nonstationary case. Finally, a heuristic method of the block length choice is proposed.
