Local block bootstrap

Efstathios Paparoditis; Dimitris N. Politis

doi:10.1016/S1631-073X(02)02578-5

Local block bootstrap
[Bloc re-échantillonnage local]

Efstathios Paparoditis ¹ ; Dimitris N. Politis ²

¹ Department of Mathematics and Statistics, University of Cyprus, PO Box 20537, Nicosia, Cyprus
² Department of Mathematics, University of California–San Diego, La Jolla, CA 92093-0112, USA

Comptes Rendus. Mathématique, Volume 335 (2002) no. 11, pp. 959-962.

Résumé
Abstract

Pour les séries chronologiques qui ne sont pas stationnaires, la méthode de bloc re-échantillonnage n'est pas directement applicable. Cependant, si la structure stochastique fondamentale change lentement, on peut utiliser une méthode de bloc re-échantillonnage local. Nous définissons une telle procédure et donnons un exemple de son applicabilité.

For time series that are not stationary, the block bootstrap method is not directly applicable. However, if the underlying stochastic structure is slowly changing with time, one may employ a local block-resampling procedure. We define such a procedure, and give an example of its applicability.

Reçu le : 2002-05-02
Révisé le : 2002-10-04
Publié le : 2002-10-29

DOI : 10.1016/S1631-073X(02)02578-5

Affiliations des auteurs :

Efstathios Paparoditis ¹ ; Dimitris N. Politis ²

¹ Department of Mathematics and Statistics, University of Cyprus, PO Box 20537, Nicosia, Cyprus
² Department of Mathematics, University of California–San Diego, La Jolla, CA 92093-0112, USA

@article{CRMATH_2002__335_11_959_0,
     author = {Efstathios Paparoditis and Dimitris N. Politis},
     title = {Local block bootstrap},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {959--962},
     publisher = {Elsevier},
     volume = {335},
     number = {11},
     year = {2002},
     doi = {10.1016/S1631-073X(02)02578-5},
     language = {en},
}

TY  - JOUR
AU  - Efstathios Paparoditis
AU  - Dimitris N. Politis
TI  - Local block bootstrap
JO  - Comptes Rendus. Mathématique
PY  - 2002
SP  - 959
EP  - 962
VL  - 335
IS  - 11
PB  - Elsevier
DO  - 10.1016/S1631-073X(02)02578-5
LA  - en
ID  - CRMATH_2002__335_11_959_0
ER  -

%0 Journal Article
%A Efstathios Paparoditis
%A Dimitris N. Politis
%T Local block bootstrap
%J Comptes Rendus. Mathématique
%D 2002
%P 959-962
%V 335
%N 11
%I Elsevier
%R 10.1016/S1631-073X(02)02578-5
%G en
%F CRMATH_2002__335_11_959_0

Efstathios Paparoditis; Dimitris N. Politis. Local block bootstrap. Comptes Rendus. Mathématique, Volume 335 (2002) no. 11, pp. 959-962. doi : 10.1016/S1631-073X(02)02578-5. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/S1631-073X(02)02578-5/

Bibliographie
Cité par

[1] R. Dahlhaus On the Kullback–Leibler information divergence of locally stationary processes, Stochastic Process. Appl, Volume 62 (1996), pp. 139-168

[2] R. Dahlhaus Fitting time series models to nonstationary processes, Ann. Statist, Volume 25 (1997), pp. 1-37

[3] H.R. Künsch The Jackknife and the bootstrap for general stationary observations, Ann. Statist, Volume 17 (1989), pp. 1217-1241

[4] D.N. Politis; J.P. Romano; M. Wolf Subsampling, Springer, New York, 1999

[5] M.B. Priestley Non-Linear and Non-Stationary Time Series Analysis, Academic Press, London, 1988

[6] G.G. Roussas; L.T. Tran; D.A. Ioannides Fixed design regression for time series: asymptotic normality, J. Multivariate Anal, Volume 40 (1992), pp. 262-291

[7] S.G. Shi Local bootstrap, Ann. Inst. Statist. Math, Volume 43 (1991), pp. 667-676

Carlos A. Fernández Regenerative bootstrap for $β$ -null recurrent Markov chains, Electronic Journal of Statistics, Volume 18 (2024) no. 2, pp. 4851-4881 | DOI:10.1214/24-ejs2318 | Zbl:7977760
Carina Beering; Anne Leucht A bootstrap functional central limit theorem for time-varying linear processes, Journal of Nonparametric Statistics, Volume 36 (2024) no. 1, pp. 240-263 | DOI:10.1080/10485252.2023.2284896 | Zbl:7814035
Jone Ascorbebeitia; Eva Ferreira; Susan Orbe The effect of dependence on European market risk. A nonparametric time varying approach, Journal of Business and Economic Statistics, Volume 40 (2022) no. 2, pp. 913-923 | DOI:10.1080/07350015.2021.1883439 | Zbl:1547.62602
David T. Frazier; Bonsoo Koo Indirect inference for locally stationary models, Journal of Econometrics, Volume 223 (2021) no. 1, pp. 1-27 | DOI:10.1016/j.jeconom.2020.08.004 | Zbl:1471.62463
M.A. Chesnaye; S.L. Bell; J.M. Harte; D.M. Simpson Controlling test specificity for auditory evoked response detection using a frequency domain bootstrap, Journal of Neuroscience Methods, Volume 363 (2021), p. 109352 | DOI:10.1016/j.jneumeth.2021.109352
Srinjoy Das; Dimitris N. Politis Predictive inference for locally stationary time series with an application to climate data, Journal of the American Statistical Association, Volume 116 (2021) no. 534, pp. 919-934 | DOI:10.1080/01621459.2019.1708368 | Zbl:1464.62379
Yeonwoo Rho; Xiaofeng Shao Bootstrap-assisted unit root testing with piecewise locally stationary errors, Econometric Theory, Volume 35 (2019) no. 1, pp. 142-166 | DOI:10.1017/s0266466618000038 | Zbl:1415.62066
William Garner; Dimitris N. Politis Local block bootstrap for inhomogeneous Poisson marked point processes, Bernoulli, Volume 24 (2018) no. 1 | DOI:10.3150/16-bej889
Gray Calhoun Block bootstrap consistency under weak assumptions, Econometric Theory, Volume 34 (2018) no. 6, pp. 1383-1406 | DOI:10.1017/s0266466617000500 | Zbl:1406.62091
Fang Han; Tianchen Qian On inference validity of weighted U-statistics under data heterogeneity, Electronic Journal of Statistics, Volume 12 (2018) no. 2, pp. 2637-2708 | DOI:10.1214/18-ejs1462 | Zbl:1402.62023
David Frazier; Bonsoo Koo Indirect Inference for Locally Stationary Models, SSRN Electronic Journal (2018) | DOI:10.2139/ssrn.3192792
Ulrich Hounyo; Sílvia Gonçalves; Nour Meddahi Bootstrapping pre-averaged realized volatility under market microstructure noise, Econometric Theory, Volume 33 (2017) no. 4, pp. 791-838 | DOI:10.1017/s0266466616000281 | Zbl:1441.62742
Kota Kasahara; Matsuyuki Shirota; Kengo Kinoshita; Jorge Arreola Ion Concentration- and Voltage-Dependent Push and Pull Mechanisms of Potassium Channel Ion Conduction, PLOS ONE, Volume 11 (2016) no. 3, p. e0150716 | DOI:10.1371/journal.pone.0150716
Yeonwoo Rho; Xiaofeng Shao Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors, Journal of Business Economic Statistics, Volume 33 (2015) no. 3, p. 444 | DOI:10.1080/07350015.2014.962698
Jens-Peter Kreiss; Efstathios Paparoditis Bootstrapping Locally Stationary Processes, Journal of the Royal Statistical Society Series B: Statistical Methodology, Volume 77 (2015) no. 1, p. 267 | DOI:10.1111/rssb.12068
Dimitris N. Politis Model-Based Prediction in Autoregression, Model-Free Prediction and Regression (2015), p. 113 | DOI:10.1007/978-3-319-21347-7_7
Dimitris N. Politis The Model-Free Prediction Principle, Model-Free Prediction and Regression (2015), p. 13 | DOI:10.1007/978-3-319-21347-7_2
Dimitris N. Politis Model-Free Inference for Markov Processes, Model-Free Prediction and Regression (2015), p. 141 | DOI:10.1007/978-3-319-21347-7_8
Dimitris N. Politis Predictive Inference for Locally Stationary Time Series, Model-Free Prediction and Regression (2015), p. 177 | DOI:10.1007/978-3-319-21347-7_9
Dimitris N. Politis Model-Free vs. Model-Based Volatility Prediction, Model-Free Prediction and Regression (2015), p. 199 | DOI:10.1007/978-3-319-21347-7_10
Dimitris N. Politis Prediction: Some Heuristic Notions, Model-Free Prediction and Regression (2015), p. 3 | DOI:10.1007/978-3-319-21347-7_1
Dimitris N. Politis Model-Based Prediction in Regression, Model-Free Prediction and Regression (2015), p. 33 | DOI:10.1007/978-3-319-21347-7_3
Dimitris N. Politis Model-Free Prediction in Regression, Model-Free Prediction and Regression (2015), p. 57 | DOI:10.1007/978-3-319-21347-7_4
Dimitris N. Politis Model-Free vs. Model-Based Confidence Intervals, Model-Free Prediction and Regression (2015), p. 81 | DOI:10.1007/978-3-319-21347-7_5
Dimitris N. Politis Linear Time Series and Optimal Linear Prediction, Model-Free Prediction and Regression (2015), p. 97 | DOI:10.1007/978-3-319-21347-7_6
J. Krampe; J.-P. Kreiss; E. Paparoditis Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series, Statistics Probability Letters, Volume 101 (2015), pp. 54-63 | DOI:10.1016/j.spl.2015.03.003 | Zbl:1328.62524
Manfred Mudelsee Regression I, Climate Time Series Analysis, Volume 51 (2014), p. 107 | DOI:10.1007/978-3-319-04450-7_4
Manfred Mudelsee Correlation, Climate Time Series Analysis, Volume 51 (2014), p. 271 | DOI:10.1007/978-3-319-04450-7_7
Manfred Mudelsee Bootstrap Confidence Intervals, Climate Time Series Analysis, Volume 51 (2014), p. 61 | DOI:10.1007/978-3-319-04450-7_3
Arif Dowla; Efstathios Paparoditis; Dimitris N. Politis Local block bootstrap inference for trending time series, Metrika, Volume 76 (2013) no. 6, pp. 733-764 | DOI:10.1007/s00184-012-0413-9 | Zbl:1268.62111
Svetlana Borovkova; Hidde Bunk; Willem-Jan de Goeij; Dimitar Mechev; Dirk Veldhuizen Collateralized Commodity Obligations: Modeling and Risk Assessment, The Journal of Alternative Investments, Volume 16 (2013) no. 2, p. 9 | DOI:10.3905/jai.2013.16.2.009
Rainer Dahlhaus Locally Stationary Processes, Time Series Analysis: Methods and Applications, Volume 30 (2012), p. 351 | DOI:10.1016/b978-0-444-53858-1.00013-2
Jens-Peter Kreiss; Efstathios Paparoditis Bootstrap methods for dependent data: a review, Journal of the Korean Statistical Society, Volume 40 (2011) no. 4, pp. 357-378 | DOI:10.1016/j.jkss.2011.08.009 | Zbl:1296.62172
Manfred Mudelsee Bootstrap Confidence Intervals, Climate Time Series Analysis, Volume 42 (2010), p. 65 | DOI:10.1007/978-90-481-9482-7_3
David L. Menzer; Hemant Bokil; Jae Wook Ryou; Nicholas D. Schiff; Keith P. Purpura; Partha P. Mitra Characterization of trial-to-trial fluctuations in local field potentials recorded in cerebral cortex of awake behaving macaque, Journal of Neuroscience Methods, Volume 186 (2010) no. 2, p. 250 | DOI:10.1016/j.jneumeth.2009.11.012
Marios Sergides; Efstathios Paparoditis Bootstrapping the local periodogram of locally stationary processes, Journal of Time Series Analysis, Volume 29 (2008) no. 2, pp. 264-299 | DOI:10.1111/j.1467-9892.2007.00556.x | Zbl:1164.62062
Evangelos E. Ioannidis Residual-based block bootstrap unit root testing in the presence of trend breaks, The Econometrics Journal, Volume 8 (2005) no. 3, pp. 323-351 | DOI:10.1111/j.1368-423x.2005.00167.x | Zbl:1085.62101
Mario Chávez; Jacques Martinerie; Michel Le Van Quyen Statistical assessment of nonlinear causality: application to epileptic EEG signals, Journal of Neuroscience Methods, Volume 124 (2003) no. 2, p. 113 | DOI:10.1016/s0165-0270(02)00367-9
Arif Dowla; Efstathios Paparoditis; Dimitris N. Politis Locally Stationary Processes and the Local Block Bootstrap, Recent Advances and Trends in Nonparametric Statistics (2003), p. 437 | DOI:10.1016/b978-044451378-6/50029-6
Rainer Dahlhaus Curve estimation for locally stationary time series models, Recent Advances and Trends in Nonparametric Statistics (2003), p. 451 | DOI:10.1016/b978-044451378-6/50031-4
Dimitris N. Politis The impact of bootstrap methods on time series analysis, Statistical Science, Volume 18 (2003) no. 2, pp. 219-230 | DOI:10.1214/ss/1063994977 | Zbl:1332.62340

Cité par 41 documents. Sources : Crossref, zbMATH

Commentaires - Politique