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A bootstrap functional central limit theorem for time-varying linear processes
Leucht, Anne; Beering, Carina (2025): A bootstrap functional central limit theorem for time-varying linear processes, in: Bamberg: Otto-Friedrich-Universität, S. 1–32.
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Year of publication:
2025
Pages:
Source/Other editions:
Journal of nonparametric statistics, Abingdon: Taylor & Francis, 2024, Jg. 36, Nr. 1, S. 240–263, ISSN: 1029-0311, 1048-5252, 1026-7654
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Year of first publication:
2024
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:
August 1, 2025
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https://fis.uni-bamberg.de/handle/uniba/109273