Block Bootstrap and Permutation Testing for Dependent Data intermediate
Once observations have an order, valid resampling must preserve more than the one-period distribution.
Once observations have an order, valid resampling must preserve more than the one-period distribution.
Register to Read
Sign up for a free account to access all 112 primer topics.
Create Free AccountAlready have an account? Sign in
References
A Reality Check for Data Snooping
Halbert White
(2000)
— Econometrica
The Stationary Bootstrap
Dimitris N. Politis, Joseph P. Romano
(1994)
— Journal of the American Statistical Association
Shrinking the cross-section
Serhiy Kozak, Stefan Nagel, Shrihari Santosh
(2020)
Coherent Measures of Risk
Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath
(1999)
— Mathematical Finance