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A bootstrap functional central limit theorem for time-varying linear processes
Beering, Carina; Leucht, Anne (2024): A bootstrap functional central limit theorem for time-varying linear processes, in: Journal of nonparametric statistics, Abingdon: Taylor & Francis, Jg. 36, Nr. 1, S. 240–263, doi: 10.1080/10485252.2023.2284896.
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Title of the Journal:
Journal of nonparametric statistics
ISSN:
1029-0311
1048-5252
1026-7654
Publisher Information:
Year of publication:
2024
Volume:
36
Issue:
1
Pages:
Language:
English
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.
Keywords: ;  ;  ; 
bootstrap
functional central limit theorem
linear process
local stationarity
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Type:
Article
Activation date:
July 2, 2025
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https://fis.uni-bamberg.de/handle/uniba/108462