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Subsampling in testing autocovariance for periodically correlated time series
Author(s) -
Lenart ŁUkasz,
Leśkow Jacek,
Synowiecki Rafał
Publication year - 2008
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2008.00591.x
Subject(s) - autocovariance , series (stratigraphy) , mathematics , estimator , fourier series , statistical inference , statistical hypothesis testing , time series , inference , statistics , algorithm , fourier transform , computer science , artificial intelligence , mathematical analysis , paleontology , biology
. The main purpose of this article was to describe the asymptotic properties of subsampling procedure applied to nonstationary, periodically correlated time series. We present the conditions under which the subsampling version for the estimator of Fourier coefficient of autocovariance function is consistent. Our result provides new tools in statistical inference methods for nonstationary, periodically correlated time series. For example, it enables to construct consistent subsampling test which successfully distinguishes the period of the series.