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The impact of bootstrap methods on time series analysis. (English) Zbl 1332.62340
Summary: Sparked by Efron’s seminal paper, the decade of the 1980s was a period of active research on bootstrap methods for independent data – mainly i.i.d. or regression set-ups. By contrast, in the 1990s much research was directed towards resampling dependent data, for example, time series and random fields. Consequently, the availability of valid nonparametric inference procedures based on resampling and/or subsampling has freed practitioners from the necessity of resorting to simplifying assumptions such as normality or linearity that may be misleading.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G09 Nonparametric statistical resampling methods
62G05 Nonparametric estimation
62G08 Nonparametric regression and quantile regression
Software:
bootstrap
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References:
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