Generalized seasonal tapered block bootstrap
نویسندگان
چکیده
منابع مشابه
Generalized Seasonal Tapered Block Bootstrap
In this paper a new block bootstrap method for periodic times series called Generalized Seasonal Tapered Block Bootstrap (GSTBB) is introduced. Consistency of the GSTBB for parameters associated with periodically correlated time series is shown; these are the overall mean, seasonal means and Fourier coefficients of the autocovariance function. Consequently, the construction of bootstrap pointwi...
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When time series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap—the Generalized Seasonal Block Bootstrap (GSBB)—and show its asymptotic consistency without undue restrictions on the relative size of the period and block size. Notably, it is exactly such restrictions that limit the app...
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A new bootstrap procedure for unit root testing based on the tapered block bootstrap is introduced. This procedure is similar to previous tests that were based on the block bootstrap and stationary bootstrap, but it has the advantage of the tapering procedure that has been previously shown to reduce the bias of the variance estimator by an order of magnitude. In this paper, the procedure is def...
متن کاملErratum to "Generalized seasonal block bootstrap in frequency analysis of cyclostationary signals" [Signal Processing 104 (2014) 358-368]
It was discovered that the original online version of the above article contained an incorrect affiliation for Dr. Anna Ewa Dudek that was not the fault of the author. The Publisher has resupplied (reposted and replaced) the XML and online PDF of the article. Unfortunately, the discovery of the error was at a point too late to correct the printed issue. Elsevier regrets and apologizes for any i...
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For time series that are not stationary, the block bootstrap method is not directly applicable. However, if the underlying stochastic structure is slowly changing with time, one may employ a local block-resampling procedure. We define such a procedure, and give an example of its applicability. Résumé Bloc re-échantillonnage local Pour les séries chronologiques qui ne sont pas stationnaires, la ...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2016
ISSN: 0167-7152
DOI: 10.1016/j.spl.2016.03.022