Approximate regenerative-block bootstrap for Markov chains

DOI10.1016/j.csda.2007.10.014zbMath1452.62031OpenAlexW2034693383MaRDI QIDQ1023604

Stéphan Clémençon, Patrice Bertail

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.10.014

zbMATH Keywords

bootstrapsimulationMarkov chainsregenerationNummelin splitting techniquesmall set

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Nonparametric statistical resampling methods (62G09) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (9)

Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ Renewal type bootstrap for increasing degree \(U\)-process of a Markov chain ⋮ Regenerative block-bootstrap confidence intervals for tail and extremal indexes ⋮ Consistency of the frequency domain bootstrap for differentiable functionals ⋮ Edgeworth expansions of suitably normalized sample mean statistics for atomic Markov chains ⋮ A renewal approach to Markovian \(U\)-statistics ⋮ Bootstrap maximum likelihood for quasi-stationary distributions ⋮ Regeneration-based statistics for Harris recurrent Markov chains ⋮ Bootstrapping Robust Statistics for Markovian Data Applications to Regenerative R‐Statistics and L‐Statistics

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