Nonparametric confidence intervals for location in time series data

Abstract

ABSTRACTWe extend the confidence interval construction procedure for location for symmetric iid data using the one-sample Wilcoxon signed rank statistic (T+) to stationary time series data. We propose a normal approximation procedure when explicit knowledge of the underlying dependence structure/distribution is unknown. By conducting extensive simulations from linear and nonlinear time series models, we show that the extended procedure is a strong contender for use in the construction of confidence intervals in time series analysis. Finally we demonstrate real application implementations in two case studies.