TY - JOUR
T1 - Block bootstrapping for kernel density estimators under ψ-weak dependence
AU - Hwang, Eunju
AU - Shin, Dong Wan
N1 - Funding Information:
This work was supported by Basic Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education Science and Technology (NRF-2009-0070618, NRF-2010-0023000).
PY - 2014
Y1 - 2014
N2 - Block bootstrap methods are applied to kernel-type density estimator and its derivatives for ψ-weakly dependent processes. Nonparametric density estimation is discussed via moving block bootstrap (MBB) and disjoint block bootstrap (DBB). Asymptotic validity is proved for MBB and DBB. A Monte-Carlo experiment compares confidence intervals based on MBB and DBB with an existing method based on normal approximation (NA) in terms of serial correlation, dynamic asymmetry, and conditional heteroscedasticity. The experiment shows that, in cases of substantial serial correlation, MBB and DBB perform better than NA and, in the other cases, MBB and DBB perform as good as NA.
AB - Block bootstrap methods are applied to kernel-type density estimator and its derivatives for ψ-weakly dependent processes. Nonparametric density estimation is discussed via moving block bootstrap (MBB) and disjoint block bootstrap (DBB). Asymptotic validity is proved for MBB and DBB. A Monte-Carlo experiment compares confidence intervals based on MBB and DBB with an existing method based on normal approximation (NA) in terms of serial correlation, dynamic asymmetry, and conditional heteroscedasticity. The experiment shows that, in cases of substantial serial correlation, MBB and DBB perform better than NA and, in the other cases, MBB and DBB perform as good as NA.
KW - Disjoint block bootstrap
KW - Kernel density estimator
KW - Moving block bootstrap
KW - Nonlinear time series
KW - Weak dependence
UR - http://www.scopus.com/inward/record.url?scp=84905716972&partnerID=8YFLogxK
U2 - 10.1080/03610926.2012.701695
DO - 10.1080/03610926.2012.701695
M3 - Article
AN - SCOPUS:84905716972
SN - 0361-0926
VL - 43
SP - 3751
EP - 3761
JO - Communications in Statistics - Theory and Methods
JF - Communications in Statistics - Theory and Methods
IS - 17
ER -