Bootstrapping the autocovariance of PC time series - a simulation study

Abstract : In this paper a simulation comparison of the bootstrap confidence intervals for the coefficients of the autocovariance function of a periodically correlated time series is provided. Two bootstrap methods are used: the circular version of the Extension of Moving Block Bootstrap and the circular version of the Generalized Seasonal Block Bootstrap. The bootstrap pointwise and simultaneous confidence intervals for the real and the imaginary parts of the Fourier coefficients of the autocovariance function are constructed. The actual coverage probabilities, the average lengths and the average upper and lower quantiles values are calculated. A heuristic method of the block length choice is proposed.
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Anna E. Dudek, Paweł Potorski. Bootstrapping the autocovariance of PC time series - a simulation study. 10th Workshop on Cyclostationary Systems and Their Applications,, Feb 2017, Grodek nad Dunajcem, Poland. ⟨10.1007/978-3-030-22529-2_3⟩. ⟨hal-01612480v4⟩

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