Block length selection in the bootstrap for time series
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Publication:1606503
DOI10.1016/S0167-9473(99)00014-6zbMATH Open1061.62528OpenAlexW2077514460MaRDI QIDQ1606503FDOQ1606503
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
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- scientific article; zbMATH DE number 1313662
- Convergence rates of empirical block length selectors for block bootstrap
Influence functionSpectral estimationBlockwise bootstrapEstimation of standard errorsIterative plug-in methodLocal bandwidth
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)
- Burn-in selection in simulating stationary time series
- Optimal choice of bootstrap block length for periodically correlated time series
- Neural network for the statistical process control of HVAC systems in passenger rail vehicles
- Testing Nowcast Monotonicity with Estimated Factors
- Block bootstrap methods and the choice of stocks for the long run
- Recent developments in bootstrapping time series
- Empirical likelihood block bootstrapping
- A smoothed bootstrap test for independence based on mutual information
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- A likelihood‐based comparison of temporal models for physical processes
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator
- On the estimation of non linear functions in stochastic volatility models
- Dependent functional data
- Regularized joint estimation of related vector autoregressive models
- A test for a difference between spectral peak frequencies.
- Relevant states and memory in Markov chain bootstrapping and simulation
- Block Bootstraps for Time Series With Fixed Regressors
- Bootstrapping spectra: methods, comparisons and application to knock data
- Title not available (Why is that?)
- Missing Values Resampling for Time Series
- Convergence rates of empirical block length selectors for block bootstrap
- Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences
- New recursive estimators of the time-average variance constant
- On studentising and blocklength selection for the bootstrap on time series
- Recursive estimation of time-average variance constants
- Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications
- Subsampling for heteroskedastic time series
- A perspective on recent methods on testing predictability of asset returns
- Comparison of stationary time series using distribution-free methods
- Asymptotics of spectral density estimates
- Resampling time series using missing values techniques
- Bootstraps for time series
- Approximate regenerative-block bootstrap for Markov chains
- A Progressive Block Empirical Likelihood Method for Time Series
- Cross-sectional dependence robust block bootstrap panel unit root tests
- A generalized block bootstrap for seasonal time series
- Automatic Block-Length Selection for the Dependent Bootstrap
- Bootstrapping an inhomogeneous point process
- Adaptive choice and resampling techniques in extremal index estimation
- Properties of the neural network sieve bootstrap
- Kernel matching scheme for block bootstrap of time series data
- Block bootstrap for periodic characteristics of periodically correlated time series
- Bootstrap methods for dependent data: a review
- A bootstrap-assisted spectral test of white noise under unknown dependence
- A generalised fractional differencing bootstrap for long memory processes
- Bootstrap and other resampling methodologies in statistics of extremes
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
- Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series
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- On optimal spatial subsample size for variance estimation
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