Local block bootstrap

Efstathios Paparoditis; Dimitris N. Politis

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

Local block bootstrap

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.

Abstract
Résumé

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.

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.

Received: 2002-05-02
Revised: 2002-10-04
Published online: 2002-10-29

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

Author's affiliations:

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/

References
Cited by

[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

Cited by Sources:

Comments - Policy