A Generalized Block Bootstrap for Seasonal Time Series
26 Pages Posted: 7 Feb 2014
Date Written: March 2014
When time‐series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap – the generalized seasonal block bootstrap (GSBB) – and show its asymptotic consistency without undue restrictions on the relative size of the period and block size. Notably, it is exactly such restrictions that limit the applicability of other proposals of block bootstrap methods for time series with periodicities. The finite‐sample performance of the GSBB is also illustrated by means of a small simulation experiment.
Keywords: Periodic time series, resampling, seasonality
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