Matched-block Bootstrap for Long Memory Processes Matched-block Bootstrap for Long Memory Processes

The block bootstrap for time series consists in randomly resampling blocks of consecutive values of the given data and aligning these blocks into a bootstrap sample The matched block bootstrap Carlstein et al samples blocks dependently attempting to follow each block with one that might realistically follow it in the underlying process to better match the dependence structure of the data Blocks may be matched using a single value at the end of a block which is ideal for Markov processes We investigate other block matching rules based on linear combinations of observations in the block which forecast the future of the series and nd the new rules to be more suitable for long memory processes