Time-series Bootstraps¶
Bootstraps for time-series data come in a variety of forms. The three contained
in this package are the stationary bootstrap
(StationaryBootstrap), which uses blocks with an
exponentially distributed lengths, the circular block bootstrap
(CircularBlockBootstrap), which uses
fixed length blocks, and the moving block bootstrap which also uses fixed
length blocks (MovingBlockBootstrap). The moving
block bootstrap does not wrap around and so observations near the start or
end of the series will be systematically under-sampled. It is not recommended
for this reason.
|
Politis and Romano (1994) bootstrap with expon distributed block sizes |
|
Bootstrap using blocks of the same length with end-to-start wrap around |
|
Bootstrap using blocks of the same length without wrap around |
Estimate optimal window length for time-series bootstraps |