title: On studentising and blocklength selection for the bootstrap on time series.
abstract: For independent data, non-parametric bootstrap is realised by resampling the data with replacement. This approach fails for dependent data such as time series. If the data generating process is at least stationary and mixing, the blockwise bootstrap by drawing subsamples or blocks of the data saves the concept. For the blockwise bootstrap a blocklength has to be selected. We propose a method for selecting the optimal blocklength. To improve the finite size properties of the blockwise bootstrap, studentised statistics is considered. If the statistic can be represented as a smooth function model this studentisation can be approximated efficiently. The studentised blockwise bootstrap method is applied for testing hypotheses on medical time series.
authors.affiliation: Freiburg Centre for Data Analysis and Modelling, Eckerstr. 1, 79104 Freiburg, Germany. peifer@fdm.uni-freiburg.de
authors.forename: M
authors.initials: M
authors.lastname: Peifer
authors.forename: B
authors.initials: B
authors.lastname: Schelter
authors.forename: B
authors.initials: B
authors.lastname: Guschlbauer
authors.forename: B
authors.initials: B
authors.lastname: Hellwig
authors.forename: C H
authors.initials: CH
authors.lastname: Lücking
authors.forename: J
authors.initials: J
authors.lastname: Timmer
mesh_terms: D000465:Algorithms; D001699:Biometry / Q000379:methods*; D003198:Computer Simulation; D003627:Data Interpretation, Statistical; D003936:Diagnosis, Computer-Assisted / Q000379:methods; D006801:Humans; D016013:Likelihood Functions; D008954:Models, Biological; D015233:Models, Statistical; D009068:Movement; D012815:Signal Processing, Computer-Assisted; D013997:Time Factors; D014202:Tremor / Q000175:diagnosis / Q000503:physiopathology