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Simultaneous confidence bands in spectral density estimation

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  • Michael H. Neumann
  • Efstathios Paparoditis

Abstract

We propose a method for the construction of simultaneous confidence bands for a smoothed version of the spectral density of a Gaussian process based on nonparametric kernel estimators obtained by smoothing the periodogram. A studentized statistic is used to determine the width of the band at each frequency and a frequency-domain bootstrap approach is employed to estimate the distribution of the supremum of this statistic over all frequencies. We prove by means of strong approximations that the bootstrap estimates consistently the distribution of the supremum deviation of interest and, consequently, that the proposed confidence bands achieve asymptotically the desired simultaneous coverage probability. The behaviour of our method in finite-sample situations is investigated by simulations and a real-life data example demonstrates its applicability in time series analysis. Copyright 2008, Oxford University Press.

Suggested Citation

  • Michael H. Neumann & Efstathios Paparoditis, 2008. "Simultaneous confidence bands in spectral density estimation," Biometrika, Biometrika Trust, vol. 95(2), pages 381-397.
    • Handle: RePEc:oup:biomet:v:95:y:2008:i:2:p:381-397
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    File URL: http://hdl.handle.net/10.1093/biomet/asn005
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    Cited by:

    1. Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.
    2. Yuichi Goto & Tobias Kley & Ria Van Hecke & Stanislav Volgushev & Holger Dette & Marc Hallin, 2021. "The Integrated Copula Spectrum," Working Papers ECARES 2021-29, ULB -- Universite Libre de Bruxelles.

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