Tapered block bootstrap

• 成果类型: Article
• 署名作者: Paparoditis, E; Politis, DN
• 署名单位: University of Cyprus; University of California System; University of California San Diego
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/88.4.1105
• 发表日期: 2001
• 页码: 11051119
• 关键词: time-series; stationary observations; random-variables; dependent data; periodograms

摘要

We introduce and study tapered block bootstrap methodology that yields an improvement over the well-known block bootstrap for time series of Kunsch (1989). The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite-sample simulations are presented validating the good performance of the tapered block bootstrap.