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

09/30/2022

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by   Carina Beering, et al.

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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.