blocklength

MaRDI QIDQ113795CRANFDO

Authors Alec Stashevsky

Last update 8 March 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.1.5, PACKAGES.rds, 0.1.3, 0.1.4, 0.1.5, 0.2.0, 0.2.1, 0.2.2

Description

A set of functions to select the optimal block-length for a dependent bootstrap (block-bootstrap). Includes the Hall, Horowitz, and Jing (1995) <doi:10.1093/biomet/82.3.561> subsampling-based cross-validation method, the Politis and White (2004) <doi:10.1081/ETC-120028836> Spectral Density Plug-in method, including the Patton, Politis, and White (2009) <doi:10.1080/07474930802459016> correction, and the Lahiri, Furukawa, and Lee (2007) <doi:10.1016/j.stamet.2006.08.002> nonparametric plug-in method, with a corresponding set of S3 plot methods.

Cites work

• A nonparametric plug-in rule for selecting optimal block lengths for block bootstrap methods
• Automatic Block-Length Selection for the Dependent Bootstrap
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• On blocking rules for the bootstrap with dependent data

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