A bootstrap functional central limit theorem for time-varying linear processes
Statistics Theory
2022-10-03 v1 Statistics Theory
Abstract
We provide a functional central limit theorem for a broad class of smooth functions for possibly noncausal 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 broad class of processes. Our results are illustrated by some numerical examples.
Cite
@article{arxiv.2209.15263,
title = {A bootstrap functional central limit theorem for time-varying linear processes},
author = {Carina Beering and Anne Leucht},
journal= {arXiv preprint arXiv:2209.15263},
year = {2022}
}