Resampling and Subsampling for Financial Time Series
作者： Efstathios Paparoditis , Dimitris N. Politis
DOI: 10.1007/978-3-540-71297-8_42
关键词: Nonparametric estimator 、 Statistic 、 Bootstrapping (electronics) 、 Series (mathematics) 、 Finance 、 Resampling 、 Computer science
摘要: We review different methods of bootstrapping or subsampling financial time series.We first discuss that can be applied to generate pseudo-series log-returns which mimic closely the essential dependence characteristics observed series. then apply bootstrap in order infer properties statistics based on times Such do not work by generating new but pseudo-replicates statistic interest. Finally, we and self-normalization data.
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