New block bootstrap methods: Sufficient and/or ordered
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.46, sa.5, ss.3942-3951, 2017 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 46 Sayı: 5
- Basım Tarihi: 2017
- Doi Numarası: 10.1080/03610918.2015.1066808
- Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Sayfa Sayıları: ss.3942-3951
- Anahtar Kelimeler: Block bootstrap, Sufficient bootstrap, Time series, 37M10, 60G25, 62F40
- Dokuz Eylül Üniversitesi Adresli: Evet
Özet
In this study, we propose sufficient time series bootstrap methods that achieve better results than conventional non-overlapping block bootstrap, but with less computing time and lower standard errors of estimation. Also, we propose using a new technique using ordered bootstrapped blocks, to better preserve the dependency structure of the original data. The performance of the proposed methods are compared in a simulation study for MA(2) and AR(2) processes and in an example. The results show that our methods are good competitors that often exhibit improved performance over the conventional block methods.