TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain
نویسندگان
چکیده
منابع مشابه
TFT - Bootstrap : Resampling time series in the frequency domain to obtain replicates in the time domain ∗
A new time series bootstrap scheme, the Time Frequency Toggle (TFT)-Bootstrap, is proposed. Its basic idea is to bootstrap the Fourier coefficients of the observed time series, and then back-transforming them to obtain a bootstrap sample in the time domain. Related previous proposals, such as the ‘surrogate data’ approach, resampled only the phase of the Fourier coefficients, and thus had only ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2011
ISSN: 0090-5364
DOI: 10.1214/10-aos868