A note on stationary bootstrap variance estimator under long-range dependence

초록

The stationary bootstrap method is popularly used to compute the standard errors or confidence regions of estimators, generated from time processes exhibiting weakly dependent stationarity. Most previous stationary bootstrap methods have focused on studying large-sample properties of stationary bootstrap inference about a sample mean under short-range dependence. For long-range dependence, recent studies have investigated the properties of block bootstrap methods using overlapping and non overlapping blocking techniques with fixed block lengths. However, the characteristics of a stationary bootstrap with random block lengths are less well-known under longrange dependence. We investigate the asymptotic property of a stationary bootstrap variance estimator for a sample mean under long-range dependence. Our theoretical and simulation results indicate that the stationary bootstrap method does not have root n-consistency for stationary and long-range dependent time processes. (C) 2020 Elsevier B.V. All rights reserved.

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