Bootstrap Methods for Markov Processes.
The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made by f...
| Published in: | Econometrica Vol. 71; no. 4; pp. 1049 - 1083 |
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| Format: | Article |
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Wiley-Blackwell
July 2003
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| Online Access: | View this record in EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=513142071&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 513142071 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: July 2003 vid: 71 iid: 4 pid: 480 pub: Wiley-Blackwell artinfo: ui: 513142071 10.1111/1468-0262.00439 ppf: 1049 ppct: 34 formats: tig: atl: Bootstrap Methods for Markov Processes. aug: au: Horowitz, Joel L. su: Markov processes Statistical bootstrapping Edgeworth expansions Time series analysis sug: subj: Markov processes Statistical bootstrapping Edgeworth expansions Time series analysis ab: The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made by first-order asymptotic approximations. This paper describes a bootstrap procedure for data that are generated by a Markov process or a process that can be approximated by a Markov process with sufficient accuracy. The procedure is based on estimating the Markov transition density nonparametrically. Bootstrap samples are obtained by sampling the process implied by the estimated transition density. Conditions are given under which the errors made by the Markov bootstrap converge to zero more rapidly than those made by the block bootstrap. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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