Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series

Based on consistency and asymptotic normality of a nonparametric kernel trend estimation in the context of locally stationary processes, validity of a hybrid wild bootstrap approach for estimating the distribution of the nonparametric estimator is established. Simulations are presented.

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Year of publication:	2015
Authors:	Krampe, J. ; Kreiss, J.-P. ; Paparoditis, E.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 101.2015, C, p. 54-63
Publisher:	Elsevier
Subject:	Bootstrap \| Locally stationary processes \| Kernel estimation \| Trend function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011263156