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RE-SAMPLING ESTIMATION IN TIME SERIES

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F07%3A00005479" target="_blank" >RIV/00216275:25410/07:00005479 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    RE-SAMPLING ESTIMATION IN TIME SERIES

  • Original language description

    Many probabilistic models are used to analyse the time series. Two different methods for bootstrapping time series are described in the paper. The simplest model ? a first order autoregressive scheme is described and presented in the practical example. The principle of this method is fitting a model and then sampling from the residuals. The different presented method is called the moving block bootstrap. An important advantage of the method is that is less ?model dependent? than the bootstrapping of residuals approach. The method is dependent on the model that is fit to the original time series. Results of both methods are compared in the paper. The methods for bootstrapping analogous to the solution for the regression models can be used and they are mentioned in the end.

  • Czech name

    RE-SAMPLING ESTIMATION IN TIME SERIES

  • Czech description

    V článku jsou popsány dvě metody analýzy časových řad bootstrapovou metodou,autoregresní model prvního řádu a model klouzavých bloků.Obě metody jsou demonstrovány i na praktických příkladech.Výsledky obou metod jsou v závěru článku porovnány.

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2007

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    ISBIS 2007

  • ISBN

    978-989-95489-0-9

  • ISSN

  • e-ISSN

  • Number of pages

    1

  • Pages from-to

    145

  • Publisher name

    University of Azores

  • Place of publication

    Azores, Portugal

  • Event location

    Ponta Delgada

  • Event date

    Aug 18, 2007

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article