Automatic Block-Length Selection for the Dependent Bootstrap

By Dimitris Nicolas Politis, Halbert White. 2004

799 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5a1374ba12ea2ebda21db13fe0731ff20f82ac50

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Citations in the corpus

Constrained Regression for Interval-Valued Data (2013, methodology): “To choose the optimal block size b, we follow the method proposed by Politis and White (2004) and Patton, Politis and White (2009).”
A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES (2014, methodology): “For each model, we removed the estimated periodic mean and divided by estimated standard deviation (if it is not constant) so as to obtain an approximation of the stationary series Yt ; the Politis and White (2004) method was then applied to our estimated Yt series.”
Properties of Foreign Exchange Risk Premiums (2012, methodology): “We consider an overlapping block resampling scheme which can handle serial correlation and also heteroscedasticity; see e.g. Künsch (1989), Hall et al. (1995), Politis and White (2004), Patton et al. (2009).”
Heat-seeking sharks: support for behavioural thermoregulation in reef sharks (2012, methodology): “We resampled blocks of data randomly with replacement from the original time series and then joined them in a random order to create the uncorrelated bootstrapped sample (Carlstein et al. 1998, Politis & White 2004, Patton et al. 2009).”
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (2013, neutral): “Notice that the latter can be determined automatically by means of the algorithm described in detail in Politis and White ([38], Section 3.”
A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS (2013, positive): “A useful application of the Warp-Speed method is that of block-length selection for the block bootstrap and for subsampling; see the useful summary in Politis et al. (1999, Ch. 9) as well as Politis and White (2004).”
Bootstrap Methods for Time Series (2003, methodology): “For relative merits of these four methods, see Lahiri (1999), Politis and White (2004), and Nordman (2009).”
Banded and tapered estimates for autocovariance matrices and the linear process bootstrap (2010, methodology): “First, we considered the block bootstrap as implemented in Canty and Ripley (2010), using the block length selection of Politis and White (2004) (see also Patton et al., 2009).”
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, positive): “To confirm this, we compute the optimal block length, using the method of Politis and White (2004), for all pairs of measures and all assets.”
The Time Variation in Risk Appetite and Uncertainty (2019, methodology): “The expressions for these variables are derived in Equations (27) – (29).”