A bootstrap functional central limit theorem for time-varying linear processes

Carina Beering; Anne Leucht

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arXiv · 2209.15263

A bootstrap functional central limit theorem for time-varying linear processes

Carina Beering·Anne Leucht

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Abstract

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.

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Carina Beering, Anne Leucht. 2022-09-30. A bootstrap functional central limit theorem for time-varying linear processes. https://arxiv.org/abs/2209.15263

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