BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//talks.cam.ac.uk//v3//EN
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:DAYLIGHT
TZOFFSETFROM:+0000
TZOFFSETTO:+0100
TZNAME:BST
DTSTART:19700329T010000
RRULE:FREQ=YEARLY;BYMONTH=3;BYDAY=-1SU
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0100
TZOFFSETTO:+0000
TZNAME:GMT
DTSTART:19701025T020000
RRULE:FREQ=YEARLY;BYMONTH=10;BYDAY=-1SU
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Local moving Fourier based bootstrapping - Lindner
\, F (Karlsruhe Institute of Technology)
DTSTART;TZID=Europe/London:20140116T153000
DTEND;TZID=Europe/London:20140116T155000
UID:TALK49986AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/49986
DESCRIPTION:In applications\, many time series while not being
globally stationary are locally well approximated
by stationary time series models such as autoregr
essive processes. Such time series can be well app
roximated by the class of locally stationary proce
sses as introduced by Dahlhaus (1997) allowing for
a rigorous asymptotic theory. In this work we ext
end existing Fourier based bootstrap methods to lo
cally stationary time series. Using a local moving
Fourier transform we can do this globally for the
full locally stationary time series as opposed to
only local bootstrap versions which can only poin
twise mimic the local stationary approximation. Th
is allows us to obtain locally stationary bootstra
p processes in the time domain. We derive asymptot
ic properties of the corresponding Fourier transfo
rm based on which we can show that the bootstrap t
ime series has asymptotically the same covariance
structure as the original locally stationary time
series. We will then illustrate the behaviour with
some simulations.\n
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:Mustapha Amrani
END:VEVENT
END:VCALENDAR