Truncated Geometric Bootstrap Method for Time Series Stationary Process

By T. Olatayo. 2014

This paper introduced a bootstrap method called truncated geometric bootstrap method for time series stationary process. We estimate the parameters of a geometric distribution which has been truncated as a probability model for the bootstrap algorithm. This probability model was used in resampling blocks of random length, where the length of each blocks has a truncated geometric distribution. The method was able to determine the block sizes b and probability p attached to its random selections. The mean and variance were estimated for the truncated geometric distribution and the bootstrap algorithm developed based on the proposed probability model.

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Citations in the corpus

• Trend analysis of climate time series: A review of methods (2019, methodology): “Olatayo (2014) adapted the SB by invoking a truncated geometric distribution of block lengths.”