The Stationary Bootstrap
From MaRDI portal
Publication:4323559
DOI10.2307/2290993zbMath0814.62023OpenAlexW4243915579MaRDI QIDQ4323559
Dimitris N. Politis, Joseph P. Romano
Publication date: 23 February 1995
Full work available at URL: https://doi.org/10.2307/2290993
consistencyconfidence regionsstationary bootstrapweak convergence propertiesapproximate confidence limitresampling procedureweakly dependent stationary observationspseudo-time seriesstandard errors of estimators
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)
Related Items
Bootstrap confidence intervals for a break date in linear regressions, On the directional accuracy of inflation forecasts: evidence from South African survey data, Optimal asset allocation for outperforming a stochastic benchmark target, Spatial Integration of Pig Meat Markets in the EU: Complex Network Analysis of Non-linear Price Relationships, Self-sustainment of coherent structures in counter-rotating Taylor–Couette flow, Improving cross-correlation tests through re-sampling techniques, Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model, Bootstrap confidence intervals for conditional density function in Markov processes, Bootstrapping volatility spillover index, A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”, Portfolios of value and momentum: disappointment aversion and non-normalities, Long‐term prediction intervals with many covariates, Oracle M‐Estimation for Time Series Models, Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data, A WILD BOOTSTRAP FOR DEPENDENT DATA, Bootstrapping tests for breaks in mean or variance based on U-statistics, Goodness‐of‐fit tests for Poisson count time series based on the Stein–Chen identity, A bootstrap method to calculate the p -value of Fisher’s combination for a large number of weakly dependent p -values, An Extensive Comparison of Some Well‐Established Value at Risk Methods, Adaptive evolutionary algorithms for portfolio selection problems, Consistent causal inference from time series with PC algorithm and its time-aware extension, Permutation-based inference for function-on-scalar regression with an application in PET brain imaging, Bootstrap-assisted tests of symmetry for dependent data, A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test, Testing stochastic dominance with many conditioning variables, Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’, Loss function-based change point detection in risk measures, Quantile varying-coefficient structural equation model, The bootstrap for testing the equality of two multivariate time series with an application to financial markets, Bootstrap Prediction Bands for Functional Time Series, Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects, Accounting for seasonality in extreme sea-level estimation, Detection of outliers in functional time series, Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model, A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures, Hedging cryptos with Bitcoin futures, Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach, Synthetic learner: model-free inference on treatments over time, Correcting the bias of the sample cross‐covariance estimator, Network Structure Change Point Detection by Posterior Predictive Discrepancy, Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes, Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies, Hierarchical Space-Time Modeling of Asymptotically Independent Exceedances With an Application to Precipitation Data, Stock volatility predictability in bull and bear markets, Estimation of stationary autoregressive models with the Bayesian LASSO, Models for Estimating Bayes Factors with Applications to Phylogeny and Tests of Monophyly, Hierarchical Kendall copulas: Properties and inference, Large-sample inference in the general AR(1) model, Model check by kernel methods under weak moment conditions., On bootstrap inference in cointegrating regressions, Simulation output analysis using the threshold bootstrap, TESTING FOR EXOGENEITY IN THRESHOLD MODELS, Dangers of data mining: The case of calendar effects in stock returns, Predictive ability with cointegrated variables, Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase, Bootstrap non-parametric significance test, Exploiting the errors: a simple approach for improved volatility forecasting, The impact of bootstrap methods on time series analysis, Estimating Information Rates with Confidence Intervals in Neural Spike Trains, Wavelet-Based Bootstrap for Time Series Analysis, On the efficacy of stop-loss rules in the presence of overnight gaps, Discussion on: ``Bootstrap methods for dependent data: a review, Bootstrap order selection for SETAR models, Tests for Scale Changes Based on Pairwise Differences, A Generalised Fractional Differencing Bootstrap for Long Memory Processes, Modeling Spatial Processes with Unknown Extremal Dependence Class, Bubble detection and sector trading in real time, Price signatures, Comments on: Subsampling weakly dependent time series and application to extremes, A Smooth Block Bootstrap for Statistical Functionals and Time Series, A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models, OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION, MARKET TIMING IN PARAMETRIC PORTFOLIO POLICIES, A Cheap Trick to Improve the Power of a Conservative Hypothesis Test, Detecting Directionality in Time Series, Time-Varying Risk Aversion and Dynamic Portfolio Allocation, Blockwise bootstrap of the estimated empirical process based on \(\psi \)-weakly dependent observations, Maximum likelihood and the bootstrap for nonlinear dynamic models, Resampling methods in econometrics, Unit root testing via the stationary bootstrap, Bootstrap conditional distribution tests in the presence of dynamic misspecification, Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness, On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis, A note on stationary bootstrap variance estimator under long-range dependence, Developing new portfolio strategies by aggregation, A versatile and robust metric entropy test of time-reversibility, and other hypotheses, A Lévy-driven rainfall model with applications to futures pricing, Technical trading and cryptocurrencies, Neural networks in financial trading, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, Dynamic factor multivariate GARCH model, Stationary bootstrapping for semiparametric panel unit root tests, Asymptotic and bootstrap inference for inequality and poverty measures, Corrigendum to: ``The pseudo-true score encompassing test for non-nested hypotheses, Predictive density and conditional confidence interval accuracy tests, Term structure of risk under alternative econometric specifications, New recursive estimators of the time-average variance constant, Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach, Multiple tests for the performance of different investment strategies, The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach, Inference on the tail process with application to financial time series modeling, Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity, Direct comparison of agent-based models of herding in financial markets, Smoothed stationary bootstrap bandwidth selection for density estimation with dependent data, Skewness and kurtosis of multivariate Markov-switching processes, Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley), Subsampling for heteroskedastic time series, Stationary bootstrapping realized volatility under market microstructure noise, Simultaneous multiple change-point and factor analysis for high-dimensional time series, The moving blocks bootstrap and robust inference for linear least squares and quantile regressions, Methods for computing numerical standard errors: review and application to value-at-risk estimation, Small sample testing for cointegration using the bootstrap approach, Estimating the upcrossings index, Dependent wild bootstrap for degenerate \(U\)- and \(V\)-statistics, Effects on inference of pretesting the exogeneity of a regressor, Asset allocation with correlation: a composite trade-off, Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels, A resampling method for regression models with serially correlated errors, Bootstrapping Hausman's exogeneity test, The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences, Another look at the disjoint blocks bootstrap, Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications, A test of the long memory hypothesis based on self-similarity, Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence, From concentration profiles to concentration maps. New tools for the study of loss distributions, Bootstrap methods for stationary functional time series, Confidence intervals for probability density functions under associated samples, Infections of \textit{Wolbachia} may destabilize mosquito population dynamics, Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence, Bootstrap testing for cross-correlation under low firing activity, Asymptotic inference about predictive accuracy using high frequency data, A review of copula models for economic time series, Resampling methods for spatial regression models under a class of stochastic designs, P-splines quantile regression estimation in varying coefficient models, Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap, Composite likelihood-based inferences on genetic data from dependent loci, A nonlinear model for predicting interannual changes in Calanus finmarchicus abundance in the gulf of maine, Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH, Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes, New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates, Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria, Relevant states and memory in Markov chain bootstrapping and simulation, Stock and bond return predictability: the discrimination power of model selection criteria, A new statistic and practical guidelines for nonparametric Granger causality testing, Towards estimating extremal serial dependence via the bootstrapped extremogram, Data-based ranking of realised volatility estimators, Robust quantification of the exposure to operational risk: bringing economic sense to economic capital, Browndye: A software package for Brownian dynamics, An efficient semiparametric maxima estimator of the extremal index, Bootstrap techniques in semiparametric estimation methods for ARFIMA models: A comparison study., Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes, A nonparametric plug-in rule for selecting optimal block lengths for block bootstrap methods, Bootstrap Unit-Root Tests: Comparison and Extensions, Nonparametric inference of quantile curves for nonstationary time series, Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White, High-dimensional copula-based distributions with mixed frequency data, Redundancies in the Earth's climatological time series, Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, A note on the stationary bootstrap's variance, Bootstrap methods for dependent data: a review, A nonparametric bootstrap method for spatial data, Control of the false discovery rate under dependence using the bootstrap and subsampling, Simultaneous selection of variables and smoothing parameters in structured additive regression models, Non-asymptotic tests of model performance, Tests of random walk: A comparison of bootstrap approaches, Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach, Bootstrapping an inhomogeneous point process, Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR, Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series, An overview of bootstrap methods for estimating and predicting in time series, Consistent model specification tests for time series econometric models, The pseudo-true score encompassing test for non-nested hypotheses., A consistent test for nonlinear out of sample predictive accuracy., The local bootstrap for Markov processes, Block length selection in the bootstrap for time series, Bootstrap specification tests for diffusion processes, Bootstraps for time series, Detecting relevant differences in the covariance operators of functional time series: a sup-norm approach, ESTIMATES OF STANDARD DEVIATION OF SPEARMAN'S RANK CORRELATION COEFFICIENTS WITH DEPENDENT OBSERVATIONS, Resampling time series using missing values techniques, Block bootstrapping for a panel mean break test, Bootstrap inference for network vector autoregression in large-scale social network, Consistency of the jackknife-after-bootstrap variance estimator for the bootstrap quantiles of a Studentized statistic, Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator, Resampling the autocovariance estimator in stationary gaussian processes, Stationary bootstrapping realized volatility, ANAPT: additive noise analysis for persistence thresholding, Bootstrap tests for nonparametric comparison of regression curves with dependent errors, BLOCK BOOTSTRAP CONSISTENCY UNDER WEAK ASSUMPTIONS, Tail-risk protection trading strategies, Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies, A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures, Nonparametric change point detection in multivariate piecewise stationary time series, Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches, The profitability in the FTSE 100 index: a new Markov chain approach, Short term decumulation strategies for underspending retirees, Time reversibility tests of volume-volatility dynamics for stock returns, Consistency of the stationary bootstrap under weak moment conditions, The block bootstrap test of Hausman's exogeneity in the presence of serial correlation, Bootstrap tests of multiple inequality restrictions on variance ratios, Automatic Block-Length Selection for the Dependent Bootstrap, A note on the empirics of the neoclassical growth model, Dynamic D-vine copula model with applications to Value-at-Risk (VaR), Penalized generalized empirical likelihood in high-dimensional weakly dependent data, Testing the predictive ability of corridor implied volatility under GARCH models, Large-scale minimum variance portfolio allocation using double regularization, Estimating the variance of a combined forecast: bootstrap-based approach, A block bootstrap for quasi-likelihood in sparse functional data, Functional data analysis in the Banach space of continuous functions, A Spectral Domain Test for Stationarity of Spatio‐Temporal Data, A Review and Some New Proposals for Bandwidth Selection in Nonparametric Density Estimation for Dependent Data, The impact of a sustainability constraint on the mean-tracking error efficient frontier, The threshold bootstrap and threshold jackknife, Modeling tick-by-tick realized correlations, Recurrence plots revisited, Bootstrapping time series models, Robust trade-off portfolio selection, Measures of serial extremal dependence and their estimation, Consistency of the frequency domain bootstrap for differentiable functionals, ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING, Data-driven robust mean-CVaR portfolio selection under distribution ambiguity, BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, Testing time reversibility without moment restrictions, Improving density forecast by modeling asymmetric features: an application to S{\&}P500 returns, Evaluating the GPH Estimator via Bootstrap Technique, Weak convergence for stationary bootstrap empirical processes of associated sequences, Improving robust model selection tests for dynamic models, Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series, A nonparametric test of the mixture-of-distributions model, Comparing the accuracy of multivariate density forecasts in selected regions of the copula support, The expected time to cross a threshold and its determinants: a simple and flexible framework, The effects of trade size and market depth on immediate price impact in a limit order book market, A dynamic autoregressive expectile for time-invariant portfolio protection strategies, Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?, Blockwise bootstrap testing for stationarity, Bootstrap procedures in a spatial-temporal model, Nonparametric resampling for stationary Markov processes: the local grid bootstrap approach, Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system, Empirical asset pricing with multi-period disaster risk: a simulation-based approach, Portfolio selection with commodities under conditional copulas and skew preferences, News, volatility and jumps: the case of natural gas futures, Computational Examples of a New Method for Distribution Selection in the Pearson System, Some Critical Insights on the Unbiased Efficient Frontier à la Bodnar&Bodnar, Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting, A stationary bootstrap test about two mean vectors comparison with somewhat dense differences and fewer sample size than dimension, High-dimensional covariance forecasting for short intra-day horizons, Spreads versus professional forecasters as predictors of future output change, A data-driven smooth test of symmetry, Exploiting ergodicity in forecasts of corporate profitability, Statistical Arbitrage with Genetic Programming, A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS, Testing for the usefulness of forecasts, Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model, On the construction of bootstrap confidence intervals for estimating the correlation between two time series not sampled on identical time points, Confidence intervals for nonparametric regression functions under negatively associated errors, Frequency domain bootstrap methods for random fields, TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS, Bootstrap maximum likelihood for quasi-stationary distributions, Monitoring procedures for strict stationarity based on the multivariate characteristic function, On the tail behaviour of aggregated random variables, Modelling extremes of spatial aggregates of precipitation using conditional methods, A comparison between VAR processes jointly modeling GDP and unemployment rate in France and Germany, Predictive Inference for Locally Stationary Time Series With an Application to Climate Data, Predictive quantile regressions under persistence and conditional heteroskedasticity, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, Evaluation of volatility predictions in a VaR framework, Trading profitability from learning and adaptation on the Tokyo Stock Exchange, Recent developments in bootstrapping time series, A test for second order stationarity of a multivariate time series, Nested forecast model comparisons: a new approach to testing equal accuracy, The integrated periodogram of a dependent extremal event sequence, Statistical inference for the slope parameter in functional linear regression, On the accuracy of bootstrapping sample quantiles of strongly mixing sequences, VARIANCE ESTIMATION FOR QUADRATIC STATISTICS, Bootstrap order selection for autoregressive models, Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
