Dimitris N. Politis

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As far back as the late 70s, the impact of a ordable, high-speed computers on the theory and practice of modern statistics was recognized by Efron [14] [15]. As a result, the bootstrap and other computer-intensive statistical methods (such as subsampling and the jackknife) have been developed extensively since that time, and now constitute very powerful(More)
In this paper, we consider the problem of bandwidth choice in the parallel settings of nonparametric kernel smoothed spectral density and probability density estimation. We propose a new class of `plug-in' type bandwidth estimators, and show their favorable asymptotic properties. The new estimators automatically adapt to the degree of underlying smoothness(More)
A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when higher-order accuracy is possible. A discussion on kernel choice is presented as well as a supporting finite-sample simulation. The problem of spectral estimation(More)
A nonparametric, residual-based block bootstrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of the stationary process driving the random walk and successfully generates unit root integrated pseudo-series retaining the important(More)
A nonparametric bootstrap procedure is proposed for stochastic processes which follow a general autoregressive structure. The procedure generates bootstrap replicates by locally resampling the original set of observations reproducing automatically its dependence properties. It avoids an initial nonparametric estimation of process characteristics in order to(More)
The paper investigates how the particular choice of residuals used in a bootstrap-based testing procedure a ects the properties of the test. The properties of the tests are investigated both under the null and under the alternative. It is shown that for non-pivotal test statistics, the method used to obtain residuals largely a ects the power behavior of the(More)