Block length selection in the bootstrap for time series

@article{Bhlmann1999BlockLS,
  title={Block length selection in the bootstrap for time series},
  author={Peter B{\"u}hlmann and Hans R. K{\"u}nsch},
  journal={Computational Statistics \& Data Analysis},
  year={1999},
  volume={31},
  pages={295-310}
}
The blockwise bootstrap is a modification of Efron's bootstrap designed to give correct results for dependent stationary observations. One drawback of the method is that it depends critically on a block length which has to be chosen by the user. Here we propose a fully data-driven method to select this block length. It is based on the equivalence of the blockwise bootstrap variance to a lag weight estimator of a spectral density at the origin. The relevant spectral density is the one of the… Expand

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