Fixedbsubsampling and the block bootstrap: improved confidence sets based onp-value calibration
نویسندگان
چکیده
منابع مشابه
Fixed-b Subsampling and Block Bootstrap: Improved Confidence Sets Based on P-value Calibration
Abstract Subsampling and block-based bootstrap methods have been used in a wide range of inference problems for time series. To accommodate the dependence, these resampling methods involve a bandwidth parameter, such as subsampling window width and block size in the block-based bootstrap. In empirical work, using different bandwidth parameters could lead to different inference results, but the ...
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Subsampling and block-based bootstrap methods have been used in a wide range of inference problems for time series. To accommodate the dependence, these resampling methods involve a bandwidth parameter, such as the subsampling window width and block size in the block-based bootstrap. In empirical work, using different bandwidth parameters could lead to different inference results, but tradition...
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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: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2012
ISSN: 1369-7412
DOI: 10.1111/j.1467-9868.2012.01037.x