A note on the stationary bootstrap's variance
Abstract
Because the stationary bootstrap resamples data blocks of random length, this method has been thought to have the largest asymptotic variance among block bootstraps Lahiri [Ann. Statist. 27 (1999) 386--404]. It is shown here that the variance of the stationary bootstrap surprisingly matches that of a block bootstrap based on nonrandom, nonoverlapping blocks. This argument translates the variance expansion into the frequency domain and provides a unified way of determining variances for other block bootstraps. Some previous results on the stationary bootstrap, related to asymptotic relative efficiency and optimal block size, are also updated.
Cite
@article{arxiv.0903.0474,
title = {A note on the stationary bootstrap's variance},
author = {Daniel J. Nordman},
journal= {arXiv preprint arXiv:0903.0474},
year = {2009}
}
Comments
Published in at http://dx.doi.org/10.1214/07-AOS567 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)