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Approximate regenerative-block bootstrap for Markov chains

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  • Bertail, Patrice
  • Clemencon, Stephan

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  • Bertail, Patrice & Clemencon, Stephan, 2008. "Approximate regenerative-block bootstrap for Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2739-2756, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:5:p:2739-2756
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    References listed on IDEAS

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    1. M. Rajarshi, 1990. "Bootstrap in Markov-sequences based on estimates of transition density," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 253-268, June.
    2. James P. Hobert, 2002. "On the applicability of regenerative simulation in Markov chain Monte Carlo," Biometrika, Biometrika Trust, vol. 89(4), pages 731-743, December.
    3. Buhlmann, Peter & Kunsch, Hans R., 1999. "Block length selection in the bootstrap for time series," Computational Statistics & Data Analysis, Elsevier, vol. 31(3), pages 295-310, September.
    4. Paul Doukhan & Patrice Bertail & Philippe Soulier, 2006. "Dependence in Probability and Statistics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00268232, HAL.
    5. Silva, E.M. & Franco, G.C. & Reisen, V.A. & Cruz, F.R.B., 2006. "Local bootstrap approaches for fractional differential parameter estimation in ARFIMA models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1002-1011, November.
    6. J. Michael Harrison & Sidney I. Resnick, 1976. "The Stationary Distribution and First Exit Probabilities of a Storage Process with General Release Rule," Mathematics of Operations Research, INFORMS, vol. 1(4), pages 347-358, November.
    7. Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
    8. Paul Doukhan & Patrice Bertail & Philippe Soulier, 2006. "Dependence in Probability and Statistics," Post-Print hal-00268232, HAL.
    9. Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, July.
    10. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
    11. Patrice Bertail & Stéphan Clémençon, 2007. "Second-order properties of regeneration-based bootstrap for atomic Markov chains," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(1), pages 109-122, May.
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    Cited by:

    1. Salima El Kolei & Fabien Navarro, 2022. "Contrast estimation for noisy observations of diffusion processes via closed-form density expansions," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 303-336, July.
    2. Soukarieh, Inass & Bouzebda, Salim, 2023. "Renewal type bootstrap for increasing degree U-process of a Markov chain," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    3. Inass Soukarieh & Salim Bouzebda, 2022. "Exchangeably Weighted Bootstraps of General Markov U -Process," Mathematics, MDPI, vol. 10(20), pages 1-42, October.

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