Tapered block bootstrap

We introduce and study tapered block bootstrap methodology that yields an improvement over the well‐known block bootstrap for time series of Künsch (1989). The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimall...

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Veröffentlicht in:	Biometrika 2001-12, Vol.88 (4), p.1105-1119
Hauptverfasser:	Paparoditis, Efstathios, Politis, Dimitris N.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Bias Confidence interval Error rates Estimate reliability Estimation bias Estimation methods Estimators Exact sciences and technology Inference from stochastic processes time series analysis Mathematics Parametric inference Probability and statistics Resampling Sample mean Sampling distributions Sampling theory, sample surveys Sciences and techniques of general use Spectral density estimation Statistical variance Statistics Subsampling Time series Validity Variance estimation
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Beschreibung
Zusammenfassung:	We introduce and study tapered block bootstrap methodology that yields an improvement over the well‐known block bootstrap for time series of Künsch (1989). The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite‐sample simulations are presented validating the good performance of the tapered block bootstrap.
ISSN:	0006-3444 1464-3510
DOI:	10.1093/biomet/88.4.1105