A Simple Bootstrap Method for Time Series

被引：6

作者：

Cai, Yuzhi ^{[1
]}

Davies, Neville ^{[2
]}

机构：

[1] Swansea Univ, Sch Business & Econ, Swansea SA2 8PP, W Glam, Wales

[2] Univ Plymouth, Plymouth PL4 8AA, Devon, England

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2012年 / 41卷 / 05期

关键词：

Model-free bootstrap; Run process; Simulation study; Time series; THRESHOLD BOOTSTRAP; JACKKNIFE; MODELS;

D O I：

10.1080/03610918.2011.598988

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article we present a simple bootstrap method for time series. The proposed method is model-free, and hence it enables us to avoid certain situations where the bootstrap samples may contain impossible values due to resampling from the residuals. The method is easy to implement and can be applied to stationary and nonstationary time series. The simulation results and the application to real time series data show that the method works very well.

引用

页码：621 / 631

页数：11

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