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A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES |
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| Authors: | Anna E Dudek Jacek Leśkow Efstathios Paparoditis Dimitris N Politis |
| Affiliation: | 1. Department of Applied Mathematics, AGH University of Science and Technology, , Krakow, Poland;2. Department of Econometrics, Institute of Mathematics, Cracow University of Technology, , Krakow, Poland;3. Department of Mathematics and Statistics, University of Cyprus, , Cyprus;4. Department of Mathematics, University of California, , La Jolla, CA, 92093‐0112 USA |
| Abstract: | 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. |
| Keywords: | Periodic time series resampling seasonality |
