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
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DOI - Digital Object Identifier
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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
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Result continuities
Project
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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
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e-ISSN
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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
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