Skip-sampling: subsampling in the frequency domain
Methodology
2022-12-19 v1
Abstract
Over the last 35 years, several bootstrap methods for time series have been proposed. Popular `time-domain' methods include the block-bootstrap, the stationary bootstrap, the linear process bootstrap, etc.; subsampling for time series is also available, and is closely related to the block-bootstrap. `Frequency-domain' bootstrap has been performed either by resampling the periodogram ordinates or by resampling the ordinates of the Discrete Fourier Transform (DFT). The paper at hand proposes a novel construction of subsampling the DFT ordinates, and investigates its theoretical properties and realm of applicability.
Cite
@article{arxiv.2212.08160,
title = {Skip-sampling: subsampling in the frequency domain},
author = {Tucker McElroy and Dimitris Politis},
journal= {arXiv preprint arXiv:2212.08160},
year = {2022}
}