A note on stationary bootstrap variance estimator under long-range dependence

DOI10.1016/J.SPL.2020.108971MaRDI QIDQ826725zbMATH OpenOpenAlexFDO

Authors Taegyu Kang, Young-Min Kim, Jongho Im

Publication date 6 January 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2020.108971

zbMATH Keywords

long-range dependencestationary bootstrapbootstrap variance estimation

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Stationary stochastic processes (60G10)

Recommendations

• Properties of a block bootstrap under long-range dependence
• A note on the stationary bootstrap's variance
• A bootstrap procedure in linear regression with nonstationary errors
• On the moving block bootstrap under long range dependence
• The Stationary Bootstrap

Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 854587 (Why is no real title available?)
• A frequency domain bootstrap for Whittle estimation under long-range dependence
• A note on the stationary bootstrap's variance
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Automatic Block-Length Selection for the Dependent Bootstrap
• Bootstrap methods: another look at the jackknife
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional differencing
• Frequency domain bootstrap for ratio statistics under long-range dependence
• Gaussian semiparametric estimation of long range dependence
• Long-memory processes. Probabilistic properties and statistical methods
• On large-sample estimation for the mean of a stationary random sequence
• On the asymptotic accuracy of Efron's bootstrap
• On the moving block bootstrap under long range dependence
• Properties of a block bootstrap under long-range dependence
• The Stationary Bootstrap
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Theoretical comparisons of block bootstrap methods
• Variance-type estimation of long memory

Cited in

(2)

• Properties of a block bootstrap under long-range dependence
• A note on the stationary bootstrap's variance

This page was built for publication: A note on stationary bootstrap variance estimator under long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q826725)