type="main" xml:id="jtsa12053-abs-0001"When time-series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap – the generalized seasonal block bootstrap (GSBB) – and show its asymptotic...

Locally stationary processes are non-stationary stochastic processes the second-order structure of which varies smoothly over time. In this paper, we develop a method to bootstrap the local periodogram of a locally stationary process. Our method generates pseudo local periodogram ordinates by...

A new procedure for testing the fit of multivariate time series model is proposed. The method evaluates in a certain way the closeness of the sample spectral density matrix of the observed process to the spectral density matrix of the parametric model postulated under the null and uses for this...