Approximate regenerative-block bootstrap for Markov chains

Regeneration-based statistics for Harris recurrent Markov chains

Harris Markov chains make their appearance in many areas of statistical modeling, in particular in time series analysis. Recent years have seen a rapid growth of statistical techniques adapted to data exhibiting this particular pattern of dependence. In this paper an attempt is made to present how renewal properties of Harris recurrent Markov chains or of specific extensions of the latter may b...

Bootstrap for continuous - time processes

An Edgeworth expansion of a Studentized statistic for an ergodic regenerative strong Markov process is validated. A specific nonparametric bootstrap method is proposed and proved to be second-order correct in the light of the Edgeworth expansion, which is a variant of the regenerative block bootstrap designed for discrete-time Markov processes. One-dimensional diffusions and semi-Markov process...

Regenerative block empirical likelihood for Markov chains

Renenewal Approach to U-statistics Formarkovian Data

Consider a Markov chain X assumed to be positive recurrent with limiting probability distribution used to construct a U-statistics. Whereas the asymptotic properties of U -statistics based on independent and identically distributed data are well understood since the sixties the study of this speci…c class of statistics for dependent data has recently received special attention in the statistica...

Sieve bootstrap with variable length Markov chains for stationary categorical time series