Bootstrap Methods for Time Series

DOI10.1111/j.1751-5823.2003.tb00485.xzbMath1114.62347OpenAlexW2148329315MaRDI QIDQ4832060

Joel L. Horowitz, Jens-Peter Kreiss, Wolfgang Karl Härdle

Publication date: 3 January 2005

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.isr/1069172307

zbMATH Keywords

ResamplingAsymptotic approximation confidence intervalBlock bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Bootstrap tests for nonparametric comparison of regression curves with dependent errors, High frequency trading and stock index returns: a nonlinear dynamic analysis, Fixed-smoothing asymptotics for time series, Testing for the presence of jump components in jump diffusion models, Bootstrap-based inferential improvements in beta autoregressive moving average model, Bootstrap confidence intervals for conditional density function in Markov processes, The multiple hybrid bootstrap -- resampling multivariate linear processes, The block bootstrap test of Hausman's exogeneity in the presence of serial correlation, Simultaneous bootstrap for all three parameters in random coefficient autoregressive models, Forecasting vector autoregressions with mixed roots in the vicinity of unity, A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder, HOUSING DYNAMICS OVER THE BUSINESS CYCLE, Computational issues in parameter estimation for hidden Markov models with template model builder, Modelling dependent data for longevity projections, Edgeworth Corrections for Realized Volatility, Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting, Nonlinear ARMA models with functional MA coefficients, Resampling Procedures for Making Inference Under Nested Case–Control Studies, BOOTSTRAP FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS, The expected time to cross a threshold and its determinants: a simple and flexible framework, Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes, Empirical likelihood block bootstrapping, Tie the straps: uniform bootstrap confidence bands for semiparametric additive models, Regularized joint estimation of related vector autoregressive models, Combining Forecasts via Simulations, Bandwidth selection for the local polynomial estimator under dependence: a simulation study, Detecting Common Longevity Trends by a Multiple Population Approach, Data-driven simulation of complex multidimensional time series, Nonparametric resampling for stationary Markov processes: the local grid bootstrap approach, Cross-sectional dependence robust block bootstrap panel unit root tests, Change-point detection in panel data via double CUSUM statistic, Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting, Theoretical and empirical estimates of mean-variance portfolio sensitivity, Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis, Inductive process modeling, Bootstrap methods for dependent data: a review, A Bayesian estimation of lag lengths in distributed lag models, Parallel Bootstrap and Optimal Subsample Lengths in Smooth Function Models, Functional convolution models, Discussion on: ``Bootstrap methods for dependent data: a review, Bootstrap order selection for SETAR models, Robust block bootstrap panel predictability tests, Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Sieve bootstrap for smoothing in nonstationary time series
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Bootstrapping GMM estimators for time series
• Bootstrap in Markov-sequences based on estimates of transition density
• Second order optimality of stationary bootstrap
• Heavy traffic approximations for busy period in an M/G/\(\infty\) queue
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Edgeworth correction by bootstrap in autoregressions
• ARCH modeling in finance. A review of the theory and empirical evidence
• On bootstrapping kernel spectral estimates
• A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
• Matched-block bootstrap for dependent data
• Some continuous Edgeworth expansions for Markov chains with applications to bootstrap
• Second-order correctness of the blockwise bootstrap for stationary observations
• A frequency domain bootstrap for ratio statistics in time series analysis
• Sieve bootstrap for time series
• Autoregressive-aided periodogram bootstrap for time series
• Bootstrap of kernel smoothing in nonlinear time series
• Regression-type inference in nonparametric autoregression
• Theoretical comparisons of block bootstrap methods
• The jackknife and the bootstrap for general stationary observations
• The local bootstrap for Markov processes
• Large sample confidence regions based on subsamples under minimal assumptions
• Asymptotic distribution of statistics in time series
• On Edgeworth expansion and moving block bootstrap for Studentized \(M\)-estimators in multiple linear regression models
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• On convergence rates of suprema
• Bootstrap in moving average models
• Tapered block bootstrap
• Semiparametric diffusion estimation and application to a stock market index
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asymptotic expansions for sums of weakly dependent random vectors
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
• Automatic Lag Selection in Covariance Matrix Estimation
• Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Properties of the nonparametric autoregressive bootstrap
• On blocking rules for the bootstrap with dependent data
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Bootstrap Methods for Markov Processes
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• The bootstrap and Edgeworth expansion