Tapered block bootstrap

SUMMARY We introduce and study tapered block bootstrap methodology that yields an improvement over the well-known block bootstrap for time series of Kiinsch (1989). The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite-sample simulations are presented validating the good performance of the tapered block bootstrap.

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