On blocking rules for the bootstrap with dependent data

DOI10.1093/biomet/82.3.561zbMath0830.62082OpenAlexW2039332020MaRDI QIDQ4851507

Hall, Peter, Joel L. Horowitz, Bing-Yi Jing

Publication date: 25 January 1996

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/82.3.561

zbMATH Keywords

mean squared error variance dependent data autoregression bias estimation block bootstrap moving average model optimal block size blocking methods two-sided distribution one-sided distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items

Assessing the impact of the economic crises in 1997 and 2008 on suicides in Hong Kong, Taiwan and South Korea using a strata-bootstrap algorithm, ESTIMATES OF STANDARD DEVIATION OF SPEARMAN'S RANK CORRELATION COEFFICIENTS WITH DEPENDENT OBSERVATIONS, Bootstrapping stationary sequences by the Nadaraya-Watson regression estimator, Maximum Likelihood Estimation for Cox Proportional Hazards Model with a Change Hyperplane, Gaussian Process Prediction using Design-Based Subsampling, Bootstrap Methods for Time Series, Construction of multi-step forecast regions of VAR processes using ordered block bootstrap, Oracle GMM estimation for misspecified models via thresholding, Subsampling to Enhance Efficiency in Input Uncertainty Quantification, Oracle M‐Estimation for Time Series Models, Spatial bootstrapped microeconometrics: Forecasting for out‐of‐sample geo‐locations in big data, Proportional Hazards Model with a Change Point for Clustered Event Data, Using covariates to model dependence in nonstationary, high‐frequency meteorological processes, The bootstrap for testing the equality of two multivariate time series with an application to financial markets, Testing for symmetric correlation matrices with applications to factor models, A bootstrap functional central limit theorem for time-varying linear processes, Bootstrap rank tests for trend in time series, ROBUST FORECAST COMPARISON, A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA, Block bootstrap methods and the choice of stocks for the long run, Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences, A Sequential Significance Test for Treatment by Covariate Interactions, A Progressive Block Empirical Likelihood Method for Time Series, Resampling Procedures for Making Inference Under Nested Case–Control Studies, Block Bootstraps for Time Series With Fixed Regressors, Dependence of Stock Returns in Bull and Bear Markets, Assessing the error in bootstrap estimates with dependent data, Large-sample inference in the general AR(1) model, Block external bootstrap in partially linear models with nonstationary strong mixing error terms, Simulation output analysis using the threshold bootstrap, Subsampling confidence intervals for parameters of atmospheric time series: block size choice and calibration, The impact of bootstrap methods on time series analysis, Wavelet-Based Bootstrap for Time Series Analysis, Nonparametric Methods of Process Discrimination and Model Validation Using Zero Crossings, A likelihood‐based comparison of temporal models for physical processes, Functional convolution models, Bootstrap order selection for SETAR models, A Generalised Fractional Differencing Bootstrap for Long Memory Processes, Hierarchical time-varying mixed-effects models in high-dimensional time series and longitudinal data studies, A Smooth Block Bootstrap for Statistical Functionals and Time Series, Using the bootstrap for statistical inference on random graphs, Bootstrap and Other Resampling Methodologies in Statistics of Extremes, Moving Block Bootstrap for Analyzing Longitudinal Data, Diagnostics for the bootstrap and fast double bootstrap, Inference for non-regular parameters in optimal dynamic treatment regimes, Bootstraps for time series, Maximum likelihood and the bootstrap for nonlinear dynamic models, Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness, Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative, Consistency of the jackknife-after-bootstrap variance estimator for the bootstrap quantiles of a Studentized statistic, Analysis of tidal data via the blockwise bootstrap, Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications, Stochastically optimal bootstrap sample size for shrinkage-type statistics, Structural stochastic volatility in asset pricing dynamics: estimation and model contest, Edgeworth expansions for Studentized statistics under weak dependence, Adaptive Choice and Resampling Techniques in Extremal Index Estimation, Assessing the association between two spatial or temporal sequences, Asymptotic expansions for sums of block-variables under weak dependence, Bandwidth selection in blocks empirical likelihood method for time series, Local block bootstrap inference for trending time series, Introducing model uncertainty by moving blocks bootstrap, Bias expansion of spatial statistics and approximation of differenced lattice point counts, Properties of a block bootstrap under long-range dependence, On inconsistency of the jackknife-after bootstrap bias estimator for dependent data, Subsampling for heteroskedastic time series, SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY, The moving blocks bootstrap and robust inference for linear least squares and quantile regressions, Testing for long-range dependence in the Brazilian term structure of interest rates, Robust bootstrap procedures for the chain-ladder method, Regularization in statistics, Estimating permanent price impact via machine learning, Automatic Block-Length Selection for the Dependent Bootstrap, Testing for long-range dependence in world stock markets, General \(M\)-estimator processes and their \(m\) out of \(n\) bootstrap with functional nuisance parameters, Abrupt change in mean using block bootstrap and avoiding variance estimation, Flexible Fourier form for volatility breaks, Long-range dependent time series specification, PELVE: probability equivalent level of VaR and ES, An alternative bootstrap to moving blocks for time series regression models, Changepoint in dependent and non-stationary panels, Subsampling the distribution of diverging statistics with applications to finance, Resampling methods for spatial regression models under a class of stochastic designs, A generalized false discovery rate in microarray studies, The threshold bootstrap and threshold jackknife, A quantitative insight into the dependence dynamics of the Kilauea and Mauna Loa volcanoes, Hawaii, Significance tests for functional data with complex dependence structure, Convergence rates of empirical block length selectors for block bootstrap, Application of the bootstrap method for estimation of the quantile function, Comparison of stationary time series using distribution-free methods, Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints, Bootstrapping Threshold Autoregressive Models, Evaluating the GPH Estimator via Bootstrap Technique, UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP, On agricultural commodities' extreme price risk, A bootstrapped spectral test for adequacy in weak ARMA models, Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series, New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates, Relevant states and memory in Markov chain bootstrapping and simulation, Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules, Testing for prospect and Markowitz stochastic dominance efficiency, Jackknife estimation of stationary autoregressive models, Bootstrapping long memory tests: some Monte Carlo results, Resampling DEA estimates of investment fund performance, On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification, On optimal spatial subsample size for variance estimation, SETAR model selection -- a bootstrap approach, A nonparametric plug-in rule for selecting optimal block lengths for block bootstrap methods, Cross-sectional dependence robust block bootstrap panel unit root tests, The Benefits of Bagging for Forecast Models of Realized Volatility, A tuning parameter free test for properties of space-time covariance functions, A note on the stationary bootstrap's variance, Theoretical and empirical estimates of mean-variance portfolio sensitivity, A bootstrap-assisted spectral test of white noise under unknown dependence, A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS, A penalized empirical likelihood method in high dimensions, On the effectiveness of scenario generation techniques in single-period portfolio optimization, Bootstrap methods for dependent data: a review, A nonparametric bootstrap method for spatial data, Theoretical comparisons of block bootstrap methods, NONPARAMETRIC ESTIMATION OF THE VARIANCE OF SAMPLE MEANS BASED ON NONSTATIONARY SPATIAL DATA, Parallel Bootstrap and Optimal Subsample Lengths in Smooth Function Models, Approximate regenerative-block bootstrap for Markov chains, Regenerative block empirical likelihood for Markov chains, A test for a difference between spectral peak frequencies., Tests of random walk: A comparison of bootstrap approaches, Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data, Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach, Bootstrapping an inhomogeneous point process, Predictive quantile regressions under persistence and conditional heteroskedasticity, \(K\)-sample subsampling in general spaces: the case of independent time series, Efficiency and robustness in subsampling for dependent data, An overview of bootstrap methods for estimating and predicting in time series, Recent developments in bootstrapping time series, The Block-Block Bootstrap for Time Series, On the relative performance of the block bootstrap for dependent data, Inference for Optimal Dynamic Treatment Regimes Using an Adaptive m ‐Out‐of‐ n Bootstrap Scheme, High dimensional generalized empirical likelihood for moment restrictions with dependent data, On the accuracy of bootstrapping sample quantiles of strongly mixing sequences, Bootstrap order selection for autoregressive models, Resampling Methods for Time Series Level Crossings, On optimal block resampling for Gaussian-subordinated long-range dependent processes, Block length selection in the bootstrap for time series, On Mixture Periodic Vector Autoregressive Models, Blockwise empirical Cressie--Read test statistics for \(\alpha\)-mixing processes., A bootstrap causality test for covariance stationary processes