An alternative block bootstrap in time series with weak dependence


Abstract views: 3 / PDF downloads: 2

Authors

  • Lorenc Ekonomi Department of Mathematics, University of Korca, Korce, Albania
  • Argjir Butka Department of Mathematics, University of Korca, Korce, Albania

Keywords:

Bootstrap, $\alpha$-mixing, time series, weak dependence, m-dependent

Abstract

When the observations are dependent, like in time series, Kunsch introduced the bootstrap with blocks forming by a fix number of consecutive observations. Different versions of block bootstrap has been formulated. In this paper we have proposed a bootstrap estimation with blocks formed from recalculated values of a statistic. We call it bootstrap with re-blocks. We have shown that this bootstrap works in time series strictly stationary $\alpha$-mixing or $m $-dependent under some conditions. We have done
simulations to compare the bootstrap with re-blocks with other block bootstrap methods.

Downloads

Published

15-06-2014

How to Cite

Lorenc Ekonomi, & Argjir Butka. (2014). An alternative block bootstrap in time series with weak dependence. International Journal of Mathematics And Its Applications, 2(2), 1–14. Retrieved from http://ijmaa.in/index.php/ijmaa/article/view/300

Issue

Section

Research Article