Szczegóły publikacji
Opis bibliograficzny
Subsampling in testing autocovariance for periodically correlated time series / Łukasz Lenart, Jacek LEŚKOW, Rafał SYNOWIECI // Journal of Time Series Analysis ; ISSN 0143-9782 . — 2008 — vol. 29 no. 6, s. 995–1018. — Bibliogr. s. 1017–1018, Abstr.
Autorzy (3)
- Lenart Łukasz
- AGHLeśkow Jacek
- AGHSynowiecki Rafał
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 44535 |
|---|---|
| Data dodania do BaDAP | 2009-04-08 |
| Tekst źródłowy | URL |
| DOI | 10.1111/j.1467-9892.2008.00591.x |
| Rok publikacji | 2008 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Journal of Time Series Analysis |
Abstract
The main purpose of this article was to describe the asymptotic properties of subsampling procedure applied to nonstationary, periodically correlated time series. We present the conditions under which the subsampling version for the estimator of Fourier coefficient of autocovariance function is consistent. Our result provides new tools in statistical inference methods for nonstationary, periodically correlated time series. For example, it enables to construct consistent subsampling test which successfully distinguishes the period of the series.
