Abstract
The main practical problem in applying the subsampling method lies in choosing the block size b. This problem is shared by all blocking methods, such as, for example, the moving blocks bootstrap or Carlstein’s (1986) variance estimator (see Sections 3.8 and 3.9). The asymptotic conditions, at least for first-order theory, are usually b → ∞ and b/n → 0 as n → ∞. Although any choice of b satisfying these conditions will yield the required consistency of subsampling methods, the two asymptotic conditions do not give much guidance with respect to how to choose b when faced with a finite sample. The aim of this chapter is to provide some guidelines for this task. It turns out that the optimal choice of b depends on the purpose for which subsampling is used.
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© 1999 Springer Science+Business Media New York
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Politis, D.N., Romano, J.P., Wolf, M. (1999). Choice of the Block Size. In: Subsampling. Springer Series in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1554-7_9
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DOI: https://doi.org/10.1007/978-1-4612-1554-7_9
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4612-7190-1
Online ISBN: 978-1-4612-1554-7
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