A subsampling perspective for extending the validity of state-of-the-art bootstraps in the frequency domain

• 成果类型: Article
• 署名作者: Yu, Haihan; Kaiser, Mark S.; Nordman, Daniel J.
• 署名单位: Iowa State University
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asad006
• 发表日期: 2023
• 关键词: range

摘要

Bootstrapping spectral mean statistics has been a notoriously difficult problem over the past 25 years. Many frequency domain bootstraps are valid only for certain time series structures, e.g., linear processes, or for special types of statistics, i.e., ratio statistics, because such bootstraps fail to capture the limiting variance of spectral statistics in general settings. We address this issue with a different form of resampling, namely, subsampling. While not considered previously, subsampling provides consistent variance estimation under much weaker conditions than any existing bootstrap in the frequency domain. Mixing is not used, as is often standard with subsampling. Rather, subsampling can be generally justified under the same conditions needed for original spectral mean statistics to have distributional limits in the first place. This result has impacts for other bootstrap methods. Subsampling then applies to extending the validity of recent state-of-the-art bootstraps in the frequency domain. We nontrivially link subsampling to such bootstraps, which broadens their range, as moment and block assumptions needed for these are cut by more than half. Essentially, state-of-the-art bootstraps then require no more stringent assumptions than those needed for a target limit distribution to exist, which is unusual in the bootstrap world. We also close a gap in the theory of subsampling for time series with distributional approximations, in addition to variance estimation, for frequency domain statistics.