Subsampling in testing autocovariance for periodically correlated time series

Łukasz Lenart, Jacek Leśkow and Rafał Synowiecki

Journal of Time Series Analysis, 2008, vol. 29, issue 6, 995-1018

Abstract: 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.

Date: 2008
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https://doi.org/10.1111/j.1467-9892.2008.00591.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:29:y:2008:i:6:p:995-1018

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