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SUMMARY:Local moving Fourier based bootstrapping - Lindner\, F (Karlsruhe 
 Institute of Technology)
DTSTART:20140116T153000Z
DTEND:20140116T155000Z
UID:TALK49986@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:In applications\, many time series while not being globally st
 ationary are locally well approximated by stationary time series models su
 ch as autoregressive processes. Such time series can be well approximated 
 by the class of locally stationary processes as introduced by Dahlhaus (19
 97) allowing for a rigorous asymptotic theory. In this work we extend exis
 ting Fourier based bootstrap methods to locally stationary time series. Us
 ing a local moving Fourier transform we can do this globally for the full 
 locally stationary time series as opposed to only local bootstrap versions
  which can only pointwise mimic the local stationary approximation. This a
 llows us to obtain locally stationary bootstrap processes in the time doma
 in. We derive asymptotic properties of the corresponding Fourier transform
  based on which we can show that the bootstrap time series has asymptotica
 lly the same covariance structure as the original locally stationary time 
 series. We will then illustrate the behaviour with some simulations.\n
LOCATION:Seminar Room 1\, Newton Institute
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