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The tapered block bootstrap for general statistics from stationary sequences

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  • Efstathios Paparoditis

    () (Department of Mathematics and Statistics, University of Cyprus)

  • Dimitris N. Politis

    () (Department of Mathematics, University of California-San Diego, USA)

Abstract

In this paper, we define and study a new block bootstrap variation, the "tapered" block bootstrap, that is applicable in the general case of approximately linear statistics, and constitutes an improvement over the original block bootstrap of Künsch (1989). The asymptotic validity, and the favorable bias properties of the tapered block bootstrap are shown in two important cases: smooth functions of means, and "M"-estimators. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite-sample simulations are also presented. Copyright Royal Economic Society 2002

Suggested Citation

  • Efstathios Paparoditis & Dimitris N. Politis, 2002. "The tapered block bootstrap for general statistics from stationary sequences," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 131-148, June.
  • Handle: RePEc:ect:emjrnl:v:5:y:2002:i:1:p:131-148
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    Cited by:

    1. Victor Chernozhukov & Denis Chetverikov & Kengo Kato, 2013. "Testing Many Moment Inequalities," CeMMAP working papers CWP65/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Spierdijk, Laura, 2016. "Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 545-559.
    3. Kevin Dowd, 2007. "Validating multiple-period density-forecasting models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 251-270.
    4. Cerqueti, Roy & Falbo, Paolo & Pelizzari, Cristian, 2017. "Relevant states and memory in Markov chain bootstrapping and simulation," European Journal of Operational Research, Elsevier, vol. 256(1), pages 163-177.
    5. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Karl B. Gregory & Soumendra N. Lahiri & Daniel J. Nordman, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 442-461, May.
    6. Ulrich Hounyo, 2014. "The wild tapered block bootstrap," CREATES Research Papers 2014-32, Department of Economics and Business Economics, Aarhus University.

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