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Biometrika 2001 88(4):1105-1119; doi:10.1093/biomet/88.4.1105
© 2001 by Biometrika Trust
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Tapered block bootstrap

Efstathios Paparoditis1 and Dimitris N.Politis2

1 Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus stathisp{at}ucy.ac.cy 2 Department of Mathematics, University of California, San Diego, La Jolla, California 92093-0112, U.S.Adpolitis{at}ucsd.edu

We introduce and study tapered block bootstrap methodology that yields an improvement over the well-known block bootstrap for time series of Künsch (1989).The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite-sample simulations are presented validating the good performance of the tapered block bootstrap.

Key Words: Bias; Confidence interval; Resampling; Spectral density estimation; Subsampling; Time series; Variance estimation

Received May 2000. Revised January 2001


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