Approximate Regenerative-block Bootstrap for Markov Chains : Some Simulation Studies

Abstract : In Bertail & Clémençon (2005a) a novel methodology for bootstrappinggeneral Harris Markov chains has been proposed, which crucially exploits their renewalproperties (when eventually extended via the Nummelin splitting technique) and has theoreticalproperties that surpass other existing methods within the Markovian framework(bmoving block bootstrap, sieve bootstrap etc...). This paper is devoted to discuss practicalissues related to the implementation of this specific resampling method and to presentvarious simulations studies for investigating the performance of the latter and comparingit to other bootstrap resampling schemes standing as natural candidates in the Markovsetting.