Abstract
In this paper we propose a new procedure to determine the length of the subseries in the MBB bootstrap which takes into account the structure of the model and the strength of dependence in the observed series. It can be easily implemented and easily extended to much more complex structures: multivariate ARMA processes; non linear models; STARMA processes.
The present paper is financially supported by MURST98 “Modelli Statistici per l’Analisi delle Serie Temporali”
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© 2001 Springer-Verlag Berlin Heidelberg
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La Rocca, M., Vitale, C. (2001). Subseries Length in MBB Procedure for α-mixing Processes(1) . In: Borra, S., Rocci, R., Vichi, M., Schader, M. (eds) Advances in Classification and Data Analysis. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-59471-7_36
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DOI: https://doi.org/10.1007/978-3-642-59471-7_36
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-41488-9
Online ISBN: 978-3-642-59471-7
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