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, Volume 9, Issue 2, pp 471–486 | Cite as

Assessing the error in bootstrap estimates with dependent data

  • Mohamed Mahmoud
  • Nahed A. Mokhlis
  • Sahar A. N. IbrahimEmail author
Article
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Abstract

Bootstrap estimates, like most random variables, are subject to sampling variation. Efron and Tibshirani (1993) studied the variability in bootstrap estimates with independent data. Efron (1992) proposed the jackknife-after-bootstrap, a method for estimating the variability from the bootstrap samples themselves. We address the issue of studying the variability in bootstrap estimates for dependent data. We modify Efron's method to render it suitable to operate through the block bootstrap. A simulation study is carried out to investigate the consistency of the modified method. The performance of this method is judged by using the same setting as that used by Efron and Tibshirani (1993). Our results confirm that this method is reliable and has an advantage in the context of dependent data.

Key Words

ARMA model block bootstrap statistics dependent data jackknife sample mean stationary time series variance 

AMS subject classification

62G05 

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References

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Copyright information

© Sociedad Española de Estadistica e Investigación Operativa 2000

Authors and Affiliations

  • Mohamed Mahmoud
    • 1
  • Nahed A. Mokhlis
    • 1
  • Sahar A. N. Ibrahim
    • 2
    Email author
  1. 1.Department of Mathematics, Faculty of ScienceAim Shams UniversityEgypt
  2. 2.Department of Mathematical Statistics, Institute of Statistical Studies and ResearchCairo UniversityGizaEgypt

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