A bootstrap functional central limit theorem for time-varying linear processes

Beering, Carina; Leucht, Anne

doi:10.1080/10485252.2023.2284896

A bootstrap functional central limit theorem for time-varying linear processes

Publication date

2023-11-27

Document type

Forschungsartikel

Author

Beering, Carina

Leucht, Anne

Organisational unit

Rechnergestützte Statistik

DOI

10.1080/10485252.2023.2284896

URI

https://openhsu.ub.hsu-hh.de/handle/10.24405/22699

Publisher

Taylor & Francis

Series or journal

Journal of Nonparametric Statistics

ISSN

1026-7654

Periodical volume

36

Periodical issue

1

First page

240

Last page

263

Part of the university bibliography

✅

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.

Version

Published version

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