Maximum non-extensive entropy block bootstrap for non-stationary processes

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F15%3A00454929" target="_blank" >RIV/67985998:_____/15:00454929 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11640/15:00455411

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Maximum non-extensive entropy block bootstrap for non-stationary processes

Original language description

In this paper, we propose a novel entropy-based resampling scheme valid for non-stationary data. In particular, we identify the reason for the failure of the original entropy-based algorithm of Vinod and López-de Lacalle (2009) to be the perfect rank correlation between the actual and bootstrapped time series. We propose the Maximum Entropy Block Bootstrap which preserves the rank correlation locally. Further, we also introduce the Maximum non-extensive Entropy Block Bootstrap to allow for fat tail behaviour in time series. Finally, we show the optimal finite sample properties of the proposed methods via a Monte Carlo analysis where we bootstrap the distribution of the Dickey-Fuller test.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/GA14-27047S" target="_blank" >GA14-27047S: Extreme variations of capital markets: theory, empirics and regulatory perspective</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

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

Name of the periodical

Actualite Economique

ISSN

0001-771X

e-ISSN

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Volume of the periodical

91

Issue of the periodical within the volume

1/2

Country of publishing house

CA - CANADA

Number of pages

25

Pages from-to

115-139

UT code for WoS article

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EID of the result in the Scopus database

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