The impact of bootstrap methods on time series analysis

被引:202
作者
Politis, DN [1 ]
机构
[1] Univ Calif San Diego, La Jolla, CA 92093 USA
关键词
block bootstrap; confidence intervals; linear models; resampling; large sample inference; nonparametric estimation; subsampling;
D O I
10.1214/ss/1063994977
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
Sparked by Efron's seminal paper, the decade of the 1980s was a period of active research on bootstrap methods for independent data-mainly i.i.d. or regression set-ups. By contrast, in the 1990s much research was directed towards resampling dependent data, for example, time series and random fields. Consequently, the availability of valid nonparametric inference procedures based on resampling and/or subsampling has freed practitioners from the necessity of resorting to simplifying assumptions such as normality or linearity that may be misleading.
引用
收藏
页码:219 / 230
页数:12
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