Block length selection in the bootstrap for time series

DOI10.1016/S0167-9473(99)00014-6MaRDI QIDQ1606503zbMATH OpenOpenAlexFDO

Authors H. R. Künsch, Peter Bühlmann

Publication date 29 July 2002

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-9473(99)00014-6

zbMATH Keywords

Influence functionSpectral estimationBlockwise bootstrapEstimation of standard errorsIterative plug-in methodLocal bandwidth

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(56)

• Automatic Block-Length Selection for the Dependent Bootstrap
• Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences
• Kernel matching scheme for block bootstrap of time series data
• Asymptotics of spectral density estimates
• Bootstrap and other resampling methodologies in statistics of extremes
• Regularized joint estimation of related vector autoregressive models
• Resampling time series using missing values techniques
• Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
• Bootstrapping an inhomogeneous point process
• Recursive estimation of time-average variance constants
• Bootstrapping spectra: methods, comparisons and application to knock data
• A likelihood‐based comparison of temporal models for physical processes
• Approximate regenerative-block bootstrap for Markov chains
• Block bootstrap for periodic characteristics of periodically correlated time series
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• Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator
• Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
• Block bootstrap methods and the choice of stocks for the long run
• On the estimation of non linear functions in stochastic volatility models
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• On the accuracy of bootstrapping sample quantiles of strongly mixing sequences
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• A generalized block bootstrap for seasonal time series
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