A Frequency Domain Bootstrap for General Multivariate Stationary Processes
一般多元平稳过程的频域自助法
For many relevant statistics of multivariate time series, no valid frequency domain bootstrap procedures exist. This is mainly due to the fact that the distribution of such statistics depends on the fourth-order moment structure of the underlying process in nearly every scenario, except for some special cases like Gaussian time series. In contrast to the univariate case, even additional structural assumptions such as linearity of the multivariate process or a standardization…