5 papers · 1 filter
Frequency Domain Bootstrap for Functional Time Series
Daniel Rademacher, Jens-Peter Kreiss, Efstathios Paparoditis
A frequency domain bootstrap procedure for functional time series is proposed and applied to the class of spectral mean operators. The procedure works by first generating independe…
Detecting Periodicity of a General Stationary Time Series via AR(2)-Model Fitting
Jens-Peter Kreiss, Panagiotis Maouris, Efstathios Paparoditis
Estimating the periodicity of a stationary time series via fitting a second order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule(1927).. We…
Gaussian Approximation for Lag-Window Estimators and the Construction of Confidence bands for the Spectral Density
Jens-Peter Kreiss, Anne Leucht, Efstathios Paparoditis
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-wi…
Bootstrapping Whittle Estimators
Jens-Peter Kreiss, Efstathios Paparoditis
Fitting parametric models by optimizing frequency domain objective functions is an attractive approach of parameter estimation in time series analysis. Whittle estimators are a pro…
EstimatedWold Representation and Spectral Density-Driven Bootstrap for Time Series
Jonas Krampe, Jens-Peter Kreiss, Efstathios Paparoditis
The second-order dependence structure of purely nondeterministic stationary process is described by the coefficients of the famous Wold representation. These coefficients can be ob…