Approximate regenerative-block bootstrap for Markov chains

被引：9
作者：
Bertail, Patrice [1 ,2 ]
Clémençon, Stéphan [1 ,3 ,4 ]
机构：
[1] Univ Paris 10, MODALX, F-92000 Nanterre, France
[2] CREST, INSEE, Stat Lab, Paris, France
[3] Univ Paris 06, CNRS, LPMA, UMR 7599, Paris, France
[4] Univ Paris 07, CNRS, LPMA, UMR 7599, Paris, France
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2008年 / 52卷 / 05期
关键词：
Markov chains; bootstrap; regeneration; small set; Nummelin splitting technique; simulation;
D O I：
10.1016/j.csda.2007.10.014
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
The (approximate) regenerative block-bootstrap for bootstrapping general Harris Markov chains has recently been developed. It is built on the renewal properties of the chain, or of a Nummelin extension of the latter. It has theoretical properties that surpass other existing methods within the Markovian framework. The practical issues related to the implementation of this specific resampling method are discussed. Various simulation studies for investigating its performance and comparing it to other bootstrap resampling schemes, standing as natural candidates in the Markov setting are presented. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：2739 / 2756
页数：18
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