Search Results - subject:"Block Bootstrap"

Nonparametric estimation of the service time distribution in the discrete-time GI/G/∞ queue with partial information

Schweer, Sebastian; Wichelhaus, Cornelia - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 233-253

block bootstrap technique is considered for the estimation of the resultant covariance kernel and is shown to be applicable …

Persistent link: https://www.econbiz.de/10011077903

Bootstrap for dependent Hilbert space-valued random variables with application to von Mises statistics

Dehling, Herold; Sharipov, Olimjon Sh.; Wendler, Martin - In: Journal of Multivariate Analysis 133 (2015) C, pp. 200-215

inference in an infinite dimensional space is difficult, we show that the nonoverlapping block bootstrap is consistent …

Persistent link: https://www.econbiz.de/10011116234

Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series

Dudek, A. - In: Metrika 78 (2015) 3, pp. 313-335

<Para ID="Par1">In the paper the consistency of the circular block bootstrap for the coefficients of the autocovariance …

Persistent link: https://www.econbiz.de/10011240995

Tapered block bootstrap for unit root testing

Parker, Cameron; Paparoditis, Efstathios; Politis, … - In: Journal of time series econometrics 7 (2015) 1, pp. 37-67

Persistent link: https://www.econbiz.de/10010510047

Change point analysis of exchange rates using bootstrapping methods : an application to the Indonesian Rupiah 2000-2008

Hardi, Amirullah Setya; Kawai, Ken-ichi; Lee, Sangyeol; … - In: Asia-Pacific financial markets 22 (2015) 4, pp. 429-444

Persistent link: https://www.econbiz.de/10011524825

Empirical Likelihood Block Bootstrapping

Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - 2008

). We propose an empirical likelihood block bootstrap procedure to improve inference where models are characterized by … have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block … bootstrap techniques have been proposed to correct the problem, including Hall and Horowitz (1996) and Inoue and Shintani (2006 …

Persistent link: https://www.econbiz.de/10011940770

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina; Distaso, Walter; Mele, Antonio - London School of Economics (LSE) - 2008

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatil- ity. We develop a model in which return volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10011071298

Empirical Likelihood Block Bootstrapping

Allen, Jason; Gregory, Allan W.; Shimotsu, Katsumi - Economics Department, Queen's University - 2008

Persistent link: https://www.econbiz.de/10005653059

Bootstrapping the empirical distribution of a linear process

El Ktaibi, Farid; Gail Ivanoff, B.; Weber, Neville C. - In: Statistics & Probability Letters 93 (2014) C, pp. 134-142

The validity of the moving block bootstrap for the empirical distribution of a short memory causal linear process is …

Persistent link: https://www.econbiz.de/10010906227

On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models

Ouysse, Rachida - In: Computational Statistics 29 (2014) 1, pp. 233-261

functions. This work provides simulation evidence that validates the moving block-bootstrap (MBB) as an alternative to …

Persistent link: https://www.econbiz.de/10010998446