Convergence rates of empirical block length selectors for block bootstrap
نویسندگان
چکیده
منابع مشابه
Automatic Block-Length Selection for the Dependent Bootstrap
We review the different block bootstrap methods for time series, and present them in a unified framework. We then revisit a recent result of Lahiri (1999b) comparing the different methods and give a corrected bound on their asymptotic relative efficiency; we also introduce a new notion of finite-sample “attainable” relative efficiency. Finally, based on the notion of spectral estimation via the...
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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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ژورنال
عنوان ژورنال: Bernoulli
سال: 2014
ISSN: 1350-7265
DOI: 10.3150/13-bej511