A bootstrap functional central limit theorem for time-varying linear processes
| Autor: | Beering, Carina, Leucht, Anne |
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| Rok vydání: | 2022 |
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| Druh dokumentu: | Working Paper |
| Popis: | 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. |
| Databáze: | arXiv |
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