Bootstrap methods for Markov processes

• 成果类型: Article
• 署名作者: Horowitz, JL
• 署名单位: Northwestern University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/1468-0262.00439
• 发表日期: 2003
• 页码: 1049-1082
• 关键词: SIEVE BOOTSTRAP; CRITICAL-VALUES; heteroskedasticity; expansions; INFINITY; moments

摘要

The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made by first-order asymptotic approximations. This paper describes a bootstrap procedure for data that are generated by a Markov process or a process that can be approximated by a Markov process with sufficient accuracy. The procedure is based on estimating the Markov transition density nonparametrically. Bootstrap samples are obtained by sampling the process implied by the estimated transition density. Conditions are given under which the errors made by the Markov bootstrap converge to zero more rapidly than those made by the block bootstrap.