Approximate regenerative-block bootstrap for Markov chains

Patrice Bertail; Stéphan Clémençon

doi:10.1016/j.csda.2007.10.014

Approximate regenerative-block bootstrap for Markov chains

Patrice Bertail
, Stéphan Clémençon

ENSAE
Université Paris-Nanterre
Institut National de le Recherche Agronomique

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

12 Citations (Scopus)

Résumé

The (approximate) regenerative block-bootstrap for bootstrapping general Harris Markov chains has recently been developed. It is built on the renewal properties of the chain, or of a Nummelin extension of the latter. It has theoretical properties that surpass other existing methods within the Markovian framework. The practical issues related to the implementation of this specific resampling method are discussed. Various simulation studies for investigating its performance and comparing it to other bootstrap resampling schemes, standing as natural candidates in the Markov setting are presented.

langue originale	Anglais
Pages (de - à)	2739-2756
Nombre de pages	18
journal	Computational Statistics and Data Analysis
Volume	52
Numéro de publication	5
Les DOIs	https://doi.org/10.1016/j.csda.2007.10.014
état	Publié - 20 janv. 2008

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abstract = "The (approximate) regenerative block-bootstrap for bootstrapping general Harris Markov chains has recently been developed. It is built on the renewal properties of the chain, or of a Nummelin extension of the latter. It has theoretical properties that surpass other existing methods within the Markovian framework. The practical issues related to the implementation of this specific resampling method are discussed. Various simulation studies for investigating its performance and comparing it to other bootstrap resampling schemes, standing as natural candidates in the Markov setting are presented.",

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KW - Markov chains

KW - Nummelin splitting technique

KW - Regeneration

KW - Simulation

KW - Small set

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Approximate regenerative-block bootstrap for Markov chains

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