Journal of Time Series Analysis

Moving Fourier Analysis for Locally Stationary Processes with the Bootstrap in View

Journal Article

We introduce a moving Fourier transformation for locally stationary time series, which captures the time‐varying spectral density in a similar manner as the classical Fourier transform does for stationary time series. In particular, the resulting Fourier coefficients as well as moving local periodograms are shown to be (almost all) asymptotically uncorrelated. The moving local periodogram is obtained by thinning the local periodogram to avoid multiple information present at different but close points in time. We obtain consistent estimators for the local spectral density at each point in time by smoothing the moving local periodogram. Furthermore, the moving Fourier coefficients, respectively periodograms, are well suited to adapt stationary frequency domain bootstrap methods to the locally stationary case. For the wild time frequency toggle bootstrap, it is shown that the corresponding bootstrap covariance of a global locally stationary bootstrap samples captures the time‐varying covariance structure of the underlying locally stationary time series correctly. Furthermore, this bootstrap in addition to adaptations of other frequency domain bootstrap methods is used in a simulation study to obtain uniform confidence bands for the time‐varying autocorrelation at lag 1. Finally, this methodology is applied to a wind data set.

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