Block length selection in the bootstrap for time series

DOI10.1016/S0167-9473(99)00014-6zbMath1061.62528OpenAlexW2077514460MaRDI QIDQ1606503

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

Mathematics Subject Classification ID

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

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Uses Software

bootstrap

Cites Work