Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series

J. Krampe, J.-P. Kreiss and E. Paparoditis

Statistics & Probability Letters, 2015, vol. 101, issue C, 54-63

Abstract: Based on consistency and asymptotic normality of a nonparametric kernel trend estimation in the context of locally stationary processes, validity of a hybrid wild bootstrap approach for estimating the distribution of the nonparametric estimator is established. Simulations are presented.

Keywords: Bootstrap; Locally stationary processes; Kernel estimation; Trend function (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.03.003

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