Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process

B. Gail Ivanoff and Neville C. Weber

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 9, 2765-2782

Abstract: The moving block bootstrap can be used to determine critical values for test statistics used to detect a change-point in the marginal distribution of a stationary time series. We examine the impact of incorporating an estimator of the change-point when centering the bootstrap blocks and establish conditions under which the bootstrapped test statistics remain stochastically bounded regardless of whether or not a change is present.

Date: 2022
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DOI: 10.1080/03610926.2020.1780260

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