New block bootstrap methods: Sufficient and/or ordered

Beyaztas B. H., Firuzan E., Beyaztas U.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.46, sa.5, ss.3942-3951, 2017 (SCI-Expanded) identifier identifier

  • 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, REGRESSION-MODELS, JACKKNIFE
  • Marmara Üniversitesi Adresli: Hayır

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.