Gaussian Approximation for Lag-Window Estimators and the Construction of Confidence bands for the Spectral Density
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866917934796898304 |
|---|---|
| author | Kreiss, Jens-Peter Leucht, Anne Paparoditis, Efstathios |
| author_facet | Kreiss, Jens-Peter Leucht, Anne Paparoditis, Efstathios |
| contents | In this paper we consider the construction of simultaneous confidence bands for the spectral density of a stationary time series using a Gaussian approximation for classical lag-window spectral density estimators evaluated at the set of all positive Fourier frequencies. The Gaussian approximation opens up the possibility to verify asymptotic validity of a multiplier bootstrap procedure and, even further, to derive the corresponding rate of convergence. A small simulation study sheds light on the finite sample properties of this bootstrap proposal. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_12316 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Gaussian Approximation for Lag-Window Estimators and the Construction of Confidence bands for the Spectral Density Kreiss, Jens-Peter Leucht, Anne Paparoditis, Efstathios Statistics Theory In this paper we consider the construction of simultaneous confidence bands for the spectral density of a stationary time series using a Gaussian approximation for classical lag-window spectral density estimators evaluated at the set of all positive Fourier frequencies. The Gaussian approximation opens up the possibility to verify asymptotic validity of a multiplier bootstrap procedure and, even further, to derive the corresponding rate of convergence. A small simulation study sheds light on the finite sample properties of this bootstrap proposal. |
| title | Gaussian Approximation for Lag-Window Estimators and the Construction of Confidence bands for the Spectral Density |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2407.12316 |