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A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES
Author(s) -
Dudek Anna E.,
Leśkow Jacek,
Paparoditis Efstathios,
Politis Dimitris N.
Publication year - 2014
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1002/jtsa.12053
Subject(s) - mathematics , block (permutation group theory) , series (stratigraphy) , consistency (knowledge bases) , statistics , limit (mathematics) , component (thermodynamics) , time series , econometrics , combinatorics , mathematical analysis , discrete mathematics , paleontology , physics , biology , thermodynamics
When time‐series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap – the generalized seasonal block bootstrap (GSBB) – and show its asymptotic consistency without undue restrictions on the relative size of the period and block size. Notably, it is exactly such restrictions that limit the applicability of other proposals of block bootstrap methods for time series with periodicities. The finite‐sample performance of the GSBB is also illustrated by means of a small simulation experiment.