Πλοήγηση ανά Συγγραφέα "Vlachogiorgos, Apostolos"
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Τεκμήριο Comparisons and applications of bootstrap methods for time series data(2022) Vlachogiorgos, Apostolos; Βλαχογιώργος, Απόστολος; Athens University of Economics and Business, Department of Statistics; Karlis, Dimitrios; Papastamoulis, Panagiotis; Pedeli, XanthiIn this project we examine the performance of block bootstrap methods under different block length selection techniques. Our goal is to compare these techniques in order to get the one that produces the “optimal” block length. This problem is of crucial importance, due to the fact that block bootstrap methods much depend on the selection of block length parameter. We conducted an extensive Monte Carlo simulation with different models and various values for their parameters. We used the well known methods HHJ and NPPI that are MSE-optimal as well as a method of Politis and White (2004) for two of the block bootstrap methods as they proposed. However, we did not stop there. We proposed four new methods to use as block length selection techniques and the results were clearly in favor of them. The two of these methods using a version of Quadratic loss function were in most cases the dominant ones, with the second of them (as we presented them in this project) being the “winner”. Furthermore, we compared the block bootstrap methods as well as the block length selection techniques with INAR models, which are time series modelling count data. The estimation of the parameters for these models is cumbersome so we wanted to know how well they are able to perform. Lastly, we performed the analysis in a real dataset which we modelled with as INAR(4) and the results in this case were mixed, yet again in favor of the new proposed methods.