A bootstrap functional central limit theorem for time-varying linear processes

Carina Beering and Anne Leucht

Journal of Nonparametric Statistics, 2024, vol. 36, issue 1, 240-263

Abstract: We provide a functional central limit theorem for a broad class of smooth functions for possibly non-causal multivariate linear processes with time-varying coefficients. Since the limiting processes depend on unknown quantities, we propose a local block bootstrap procedure to circumvent this inconvenience in practical applications. In particular, we prove bootstrap validity for a very large class of processes. Our results are illustrated by some numerical examples.

Date: 2024
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DOI: 10.1080/10485252.2023.2284896

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