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May 2002 Bootstraps for Time Series
Peter Bühlmann
Statist. Sci. 17(1): 52-72 (May 2002). DOI: 10.1214/ss/1023798998


We review and compare block, sieve and local bootstraps for time series and thereby illuminate theoretical aspects of the procedures as well as their performance on finite-sample data. Our view is selective with the intention of providing a new and fair picture of some particular aspects of bootstrapping time series.

The generality of the block bootstrap is contrasted with sieve bootstraps. We discuss implementational advantages and disadvantages. We argue that two types of sieve often outperform the block method, each of them in its own important niche, namely linear and categorical processes. Local bootstraps, designed for nonparametric smoothing problems, are easy to use and implement but exhibit in some cases low performance.


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Peter Bühlmann. "Bootstraps for Time Series." Statist. Sci. 17 (1) 52 - 72, May 2002.


Published: May 2002
First available in Project Euclid: 11 June 2002

zbMATH: 1013.62048
MathSciNet: MR1910074
Digital Object Identifier: 10.1214/ss/1023798998

Keywords: Autoregression , block bootstrap , categorical time series , context algorithm , double bootstrap , linear process , local bootstrap , Markov chain , sieve bootstrap , stationary process , studentizing

Rights: Copyright © 2002 Institute of Mathematical Statistics


Vol.17 • No. 1 • May 2002
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