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A simple bootstrap method for time serie / Yuzhi Cai, Neville Davies

Communications in Statistics – Simulation and Computation, Volume: 41, Pages: 621 - 631

Swansea University Author: Yuzhi Cai

Abstract

This article presents a simple bootstrap method for time series. The proposedmethod is model-free, and hence it enables us to avoid certain situations wherethe bootstrap samples may contain impossible values due to resampling from theresiduals. The method is easy to implement and can be applied to s...

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Published in: Communications in Statistics – Simulation and Computation
Published: 2012
URI: https://cronfa.swan.ac.uk/Record/cronfa11972
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Abstract: This article presents a simple bootstrap method for time series. The proposedmethod is model-free, and hence it enables us to avoid certain situations wherethe bootstrap samples may contain impossible values due to resampling from theresiduals. The method is easy to implement and can be applied to stationary andnonstationary time series. The simulation results and the application to real timeseries data show that the method works very well.
Keywords: Model-free bootstrap; Run process; Simulation study; Time series
College: School of Management
Start Page: 621
End Page: 631