the Block-Block Bootstrap: Improved Asymptotic Refinements
نویسندگان
چکیده
منابع مشابه
The Block - Block Bootstrap : Improved Asymptotic Refinements
1 The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the join-point problem. In this paper, we propose a method of solving...
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The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the joinpoint problem. In this paper, we propose a method of solving th...
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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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The situation where the available data arise from a general linear process with a unit root is discussed. We propose a modi cation of the Block Bootstrap which generates replicates of the original data and which correctly imitates the unit root behavior and the weak dependence structure of the observed series. Validity of the proposed method for estimating the unit root distribution is shown. R...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2004
ISSN: 0012-9682,1468-0262
DOI: 10.1111/j.1468-0262.2004.00509.x