No Cover Image

Journal article 596 views

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...

Full description

Published in: Communications in Statistics – Simulation and Computation
Published: 2012
URI: https://cronfa.swan.ac.uk/Record/cronfa11972
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2013-07-23T12:06:38Z
last_indexed 2018-02-09T04:41:54Z
id cronfa11972
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2016-05-01T15:19:07.3680208</datestamp><bib-version>v2</bib-version><id>11972</id><entry>2012-07-12</entry><title>A simple bootstrap method for time serie</title><swanseaauthors><author><sid>eff7b8626ab4cc6428eef52516fda7d6</sid><ORCID>0000-0003-3509-9787</ORCID><firstname>Yuzhi</firstname><surname>Cai</surname><name>Yuzhi Cai</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2012-07-12</date><deptcode>BAF</deptcode><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.</abstract><type>Journal Article</type><journal>Communications in Statistics &#x2013; Simulation and Computation</journal><volume>41</volume><paginationStart>621</paginationStart><paginationEnd>631</paginationEnd><publisher/><issnPrint/><issnElectronic/><keywords>Model-free bootstrap; Run process; Simulation study; Time series</keywords><publishedDay>28</publishedDay><publishedMonth>2</publishedMonth><publishedYear>2012</publishedYear><publishedDate>2012-02-28</publishedDate><doi/><url/><notes/><college>COLLEGE NANME</college><department>Accounting and Finance</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>BAF</DepartmentCode><institution>Swansea University</institution><apcterm/><lastEdited>2016-05-01T15:19:07.3680208</lastEdited><Created>2012-07-12T13:48:38.4482338</Created><path><level id="1">School of Management</level><level id="2">Accounting and Finance</level></path><authors><author><firstname>Yuzhi</firstname><surname>Cai</surname><orcid>0000-0003-3509-9787</orcid><order>1</order></author><author><firstname>Neville</firstname><surname>Davies</surname><order>2</order></author></authors><documents/><OutputDurs/></rfc1807>
spelling 2016-05-01T15:19:07.3680208 v2 11972 2012-07-12 A simple bootstrap method for time serie eff7b8626ab4cc6428eef52516fda7d6 0000-0003-3509-9787 Yuzhi Cai Yuzhi Cai true false 2012-07-12 BAF 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. Journal Article Communications in Statistics – Simulation and Computation 41 621 631 Model-free bootstrap; Run process; Simulation study; Time series 28 2 2012 2012-02-28 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2016-05-01T15:19:07.3680208 2012-07-12T13:48:38.4482338 School of Management Accounting and Finance Yuzhi Cai 0000-0003-3509-9787 1 Neville Davies 2
title A simple bootstrap method for time serie
spellingShingle A simple bootstrap method for time serie
Yuzhi, Cai
title_short A simple bootstrap method for time serie
title_full A simple bootstrap method for time serie
title_fullStr A simple bootstrap method for time serie
title_full_unstemmed A simple bootstrap method for time serie
title_sort A simple bootstrap method for time serie
author_id_str_mv eff7b8626ab4cc6428eef52516fda7d6
author_id_fullname_str_mv eff7b8626ab4cc6428eef52516fda7d6_***_Yuzhi, Cai
author Yuzhi, Cai
author2 Yuzhi Cai
Neville Davies
format Journal article
container_title Communications in Statistics – Simulation and Computation
container_volume 41
container_start_page 621
publishDate 2012
institution Swansea University
college_str School of Management
hierarchytype
hierarchy_top_id schoolofmanagement
hierarchy_top_title School of Management
hierarchy_parent_id schoolofmanagement
hierarchy_parent_title School of Management
department_str Accounting and Finance{{{_:::_}}}School of Management{{{_:::_}}}Accounting and Finance
document_store_str 0
active_str 0
description 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.
published_date 2012-02-28T03:24:02Z
_version_ 1714284860794732544
score 10.83124