An urn-based Bayesian block bootstrap

Pasquale Cirillo and Pietro Muliere

Metrika: International Journal for Theoretical and Applied Statistics, 2013, vol. 76, issue 1, 93-106

Abstract: Block bootstrap has been introduced in the literature for resampling dependent data, i.e. stationary processes. One of the main assumptions in block bootstrapping is that the blocks of observations are exchangeable, i.e. their joint distribution is immune to permutations. In this paper we propose a new Bayesian approach to block bootstrapping, starting from the construction of exchangeable blocks. Our sampling mechanism is based on a particular class of reinforced urn processes. Copyright Springer-Verlag 2013

Keywords: Block bootstrap; Exchangeability; Reinforced urn processes (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00184-011-0377-1

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