An overview of bootstrap methods for estimating and predicting in time series

被引：22

作者：

Cao, R ^{[1
]}

机构：

[1] Univ A Coruna, Dept Matemat, La Coruna 15071, Spain

来源：

TEST | 1999年 / 8卷 / 01期

关键词：

autoregressive processes; blockwise bootstrap; moving average processes; moving blocks bootstrap; resampling methods; stationary bootstrap;

D O I：

10.1007/BF02595864

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper an overview of the existing literature about bootstrapping for estimation and prediction in time series is presented. Some of the methods are detailed, organized according to the aim they are designed for (estimation or prediction) and to the fact that some parametric structure is assumed, or not, for the dependence. Finally, some new bootstrap (kernel based) method is presented for prediction when no parametric assumption is made for the dependence.

引用

页码：95 / 116

页数：22

共 29 条

[1]

[Anonymous], THEORY PROBABILITY I

[2]

BUHLMANN P, 1995, SCAND J STAT, V22, P35

[3] Sieve bootstrap for time series [J].