Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series

A. Dudek ()

Metrika: International Journal for Theoretical and Applied Statistics, 2015, vol. 78, issue 3, 313-335

Abstract: In the paper the consistency of the circular block bootstrap for the coefficients of the autocovariance function of almost periodically correlated time series is proved. The pointwise and the simultaneous bootstrap equal-tailed confidence intervals for these coefficients are constructed. Application of the results to detect the second-order significant frequencies is provided. The simulation and real data examples are also presented. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Almost periodically correlated process; Autocovariance function; Circular block bootstrap; Simultaneous confidence intervals (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00184-014-0505-9

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