The paper reconsiders the autoregressive aided periodogram bootstrap (AAPB) which has been suggested in Kreiss and Paparoditis (2003) [18]. Their idea was to combine a time domain parametric and a frequency domain nonparametric bootstrap to mimic not only a part but as much as possible the...

We consider anr-dimensional multivariate time series {yt, t[set membership, variant]Z} which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finitek-order vector...