Properties of a Fourier bootstrap method for time series

被引：10
|
作者：
Braun, WJ
Kulperger, NJ
机构：
[1] UNIV WINNIPEG,WINNIPEG,MB R3B 2E9,CANADA
[2] UNIV WESTERN ONTARIO,LONDON,ON N6A 5B9,CANADA
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1997年 / 26卷 / 06期
基金：
加拿大自然科学与工程研究理事会;
关键词：
FFT; Gaussian processes; central limit theorem; prediction;
D O I：
10.1080/03610929708831985
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A method for bootstrapping stationary Gaussian sequences is studied. The FFT is applied to the original data, randomized in the frequency domain, and the inverse FFT is applied. The result is a sequence whose second order properties are similar to those of the original sequence. Conditions under which the method is valid are given.
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页码：1329 / 1336
页数：8
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