no. 11
Local block bootstrap
[Bloc re-échantillonnage local]
Paparoditis, Efstathios1 ; Politis, Dimitris N.2
1 Department of Mathematics and Statistics, University of Cyprus, PO Box 20537, Nicosia, Cyprus
2 Department of Mathematics, University of California–San Diego, La Jolla, CA 92093-0112, USA
Comptes Rendus. Mathématique, Tome 335 (2002) no. 11, pp. 959-962.

Pour les séries chronologiques qui ne sont pas stationnaires, la méthode de bloc re-échantillonnage n'est pas directement applicable. Cependant, si la structure stochastique fondamentale change lentement, on peut utiliser une méthode de bloc re-échantillonnage local. Nous définissons une telle procédure et donnons un exemple de son applicabilité.

For time series that are not stationary, the block bootstrap method is not directly applicable. However, if the underlying stochastic structure is slowly changing with time, one may employ a local block-resampling procedure. We define such a procedure, and give an example of its applicability.

Reçu le :
Révisé le :
Publié le :
DOI : 10.1016/S1631-073X(02)02578-5
Paparoditis, Efstathios 1 ; Politis, Dimitris N. 2

1 Department of Mathematics and Statistics, University of Cyprus, PO Box 20537, Nicosia, Cyprus
2 Department of Mathematics, University of California–San Diego, La Jolla, CA 92093-0112, USA 
@article{CRMATH_2002__335_11_959_0,
     author = {Paparoditis, Efstathios and Politis, Dimitris N.},
     title = {Local block bootstrap},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {959--962},
     publisher = {Elsevier},
     volume = {335},
     number = {11},
     year = {2002},
     doi = {10.1016/S1631-073X(02)02578-5},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/S1631-073X(02)02578-5/}
}
TY  - JOUR
AU  - Paparoditis, Efstathios
AU  - Politis, Dimitris N.
TI  - Local block bootstrap
JO  - Comptes Rendus. Mathématique
PY  - 2002
SP  - 959
EP  - 962
VL  - 335
IS  - 11
PB  - Elsevier
UR  - http://www.numdam.org/articles/10.1016/S1631-073X(02)02578-5/
DO  - 10.1016/S1631-073X(02)02578-5
LA  - en
ID  - CRMATH_2002__335_11_959_0
ER  - 
%0 Journal Article
%A Paparoditis, Efstathios
%A Politis, Dimitris N.
%T Local block bootstrap
%J Comptes Rendus. Mathématique
%D 2002
%P 959-962
%V 335
%N 11
%I Elsevier
%U http://www.numdam.org/articles/10.1016/S1631-073X(02)02578-5/
%R 10.1016/S1631-073X(02)02578-5
%G en
%F CRMATH_2002__335_11_959_0
Paparoditis, Efstathios; Politis, Dimitris N. Local block bootstrap. Comptes Rendus. Mathématique, Tome 335 (2002) no. 11, pp. 959-962. doi : 10.1016/S1631-073X(02)02578-5. http://www.numdam.org/articles/10.1016/S1631-073X(02)02578-5/

[1] Dahlhaus, R. On the Kullback–Leibler information divergence of locally stationary processes, Stochastic Process. Appl, Volume 62 (1996), pp. 139-168

[2] Dahlhaus, R. Fitting time series models to nonstationary processes, Ann. Statist, Volume 25 (1997), pp. 1-37

[3] Künsch, H.R. The Jackknife and the bootstrap for general stationary observations, Ann. Statist, Volume 17 (1989), pp. 1217-1241

[4] Politis, D.N.; Romano, J.P.; Wolf, M. Subsampling, Springer, New York, 1999

[5] Priestley, M.B. Non-Linear and Non-Stationary Time Series Analysis, Academic Press, London, 1988

[6] Roussas, G.G.; Tran, L.T.; Ioannides, D.A. Fixed design regression for time series: asymptotic normality, J. Multivariate Anal, Volume 40 (1992), pp. 262-291

[7] Shi, S.G. Local bootstrap, Ann. Inst. Statist. Math, Volume 43 (1991), pp. 667-676

Cité par Sources :