Econometric Reviews · 2004 · 849 citations · 22 references
ComputingBiostatisticsEconometricsFinancial EconometricsTime Series AnalysisAutocorrelation AnalysisBootstrap MethodsEstimation TheoryBlock Size SelectionBootstrap Efficiency EstimationBootstrap EstimationNonparametric EstimationNonparametric Spectral EstimationRelative EfficiencySpectral Estimation
Abstract We review the different block bootstrap methods for time series, and present them in a unified framework. We then revisit a recent result of Lahiri [Lahiri, S. N. (1999b). Theoretical comparisons of block bootstrap methods, Ann. Statist. 27:386–404] comparing the different methods and give a corrected bound on their asymptotic relative efficiency; we also introduce a new notion of finite-sample “attainable” relative efficiency. Finally, based on the notion of spectral estimation via the flat-top lag-windows of Politis and Romano [Politis, D. N., Romano, J. P. (1995). Bias-corrected nonparametric spectral estimation. J. Time Series Anal. 16:67–103], we propose practically useful estimators of the optimal block size for the aforementioned block bootstrap methods. Our estimators are characterized by the fastest possible rate of convergence which is adaptive on the strength of the correlation of the time series as measured by the correlogram.
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Time Series: Theory and Methods
Eric R. Ziegel, Peter J. Brockwell, Richard A. Davis · Technometrics · 1992 · 5.1K citations
Dimitris N. Politis, Joseph P. Romano · Journal of the American Statistical Association · 1994 · 2.4K citations
A Reality Check for Data Snooping
Halbert White · Econometrica · 2000 · 1.8K citations · Full text