Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66304 
Year of Publication: 
1997
Series/Report no.: 
SFB 373 Discussion Paper No. 1997,88
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is usually necessary to capture the whole dependence structure asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting quantities arising in nonparametric statistics. We generalize the well-known whitening by windowing principle to joint distributions of nonparametric estimators of the autoregression function. As a consequence, we obtain that model-based nonparametric bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general stationary process.
Subjects: 
Bootstrap
nonparametric autoregression
nonparametric regression
strong approximation
weak dependence
whitening by windowing
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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