A Simple Bootstrap Method for Time Series
Résumé
In this paper we present a simple bootstrap method for time series. The proposed method is model free, and hence it enables us to avoid certain situations where the bootstrap samples may contain impossible values due to resampling from the residuals. The method is easy to implement and can be applied to both stationary and non-stationary time series. The simulation results and the application to real time series data show that the method works very well.
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