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Missing values resampling for time series. (English) Zbl 1444.62005

Härdle, Wolfgang (ed.) et al., COMPSTAT. Proceedings in computational statistics. 15th symposium, Berlin, Germany, August 24–28, 2002. Heidelberg: Physica-Verlag. 461-466 (2002).
Summary: In this work we are interested in the moving block jackknife (MBJ) and bootstrap (MBB) introduced in [H. R. Künsch, Ann. Stat. 17, No. 3, 1217–1241 (1989; Zbl 0684.62035)] and independently in [R. Y. Liu and K. Singh, in: Exploring the limits of bootstrap: Papers presented at a special topics meeting, East Lansing, UK, May 1990. New York, NY: Wiley. 225–248 (1992; Zbl 0838.62036)]. These methods are valid to estimate the variance and the distribution of statistics defined by functionals of finite dimensional distributions, which includes robust estimators of location and scale, least squares estimators of autoregressive models and certain version of autocorrelations
For the entire collection see [Zbl 1023.00020].

MSC:

62-08 Computational methods for problems pertaining to statistics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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References:

[1] Alonso, A. M., Peña, D. and Romo, J. (2000) Resampling time series by missing values techniques, Working Paper, 00-42, Madrid: Universidad Carlos III de Madrid.
[2] Bühlmann, P. and Künsch, H.R. (1994) Block length selection in the bootstrap for time series, Research Report, 72, Zürich: Eidgenössische Technische Hochschule. · Zbl 1061.62528
[3] Carlstein, E., Do, K., Hall, P., Hesterberg, T. and Künsch, H. R. (1998) Matched-block bootstrap for dependent data, Bernoulli, 4, 305-328. · Zbl 0920.62106 · doi:10.2307/3318719
[4] Künsch, H. R. (1989) The jackknife and the bootstrap for general stationary observations, The Annals of Statistics, 17, 1217-1241. · Zbl 0684.62035 · doi:10.1214/aos/1176347265
[5] Liu, R. Y. and Singh, K. (1992) Moving blocks jackknife and bootstrap capture week dependence, In: Exploring the Limits of Bootstrap, 225-248. New York: Wiley. · Zbl 0838.62036
[6] Peña, D.
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