Tapered block bootstrap
Date
2001Source
BiometrikaVolume
88Issue
4Pages
1105-1119Google Scholar check
Keyword(s):
Metadata
Show full item recordAbstract
We introduce and study tapered block bootstrap methodology that yields an improvement over the well-known block bootstrap for time series of Künsch (1989). The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite-sample simulations are presented validating the good performance of the tapered block bootstrap. © 2001 Biometrika Trust.