Block length selection in the bootstrap for time series

DOI10.1016/S0167-9473(99)00014-6zbMath1061.62528MaRDI QIDQ1606503

Peter Bühlmann, Hans R. Künsch

Publication date: 29 July 2002

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

zbMATH Keywords

Influence function; Spectral estimation; Blockwise bootstrap; Estimation of standard errors; Iterative plug-in method; Local bandwidth

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M15: Inference from stochastic processes and spectral analysis

62G09: Nonparametric statistical resampling methods

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Automatic Block-Length Selection for the Dependent Bootstrap, Subsampling confidence intervals for parameters of atmospheric time series: block size choice and calibration, Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator, A multivariate version of Hoeffding's phi-square, Recursive estimation of time-average variance constants, A smoothed bootstrap test for independence based on mutual information, Bootstrapping spectra: methods, comparisons and application to knock data, Approximate regenerative-block bootstrap for Markov chains, Bootstrapping an inhomogeneous point process, A test for a difference between spectral peak frequencies., Subsampling for heteroskedastic time series, On optimal spatial subsample size for variance estimation, Bootstraps for time series, Resampling time series using missing values techniques, Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test, On the accuracy of bootstrapping sample quantiles of strongly mixing sequences, ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

Uses Software

• bootstrap

Cites Work

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