块块自助法:改进的渐近精炼

the Block-Block Bootstrap: Improved Asymptotic Refinements

Econometrica · 2004
被引 10
人大 A+FT50ABS 4*

中文导读

指出时间序列的块自助法渐近精炼不如独立同分布或参数自助法,原因是块间独立性无法模拟原样本的依赖结构,即连接点问题。

Abstract

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the join-point problem. Copyright The Econometric Society 2004.

Time series