Journal of Time Series Analysis Special Issue: Recent Developments in Bootstrap Methods for Dependent Data

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  • Author: Statistics Views
  • Date: 24 April 2015
  • Copyright: Image appears courtesy of Wiley

The Journal of Time Series Analysis has published a new Special Issue on bootstrap methods for time series data, which was guest edited by Giuseppe Cavaliere, Dimitris N. Politis and Anders Rahbek. The special issue is a collection of articles that were the outcome of the conference ‘Recent developments in bootstrap methods for time series data’, held in Copenhagen, 8–10 September 2013.

thumbnail image: Journal of Time Series Analysis Special Issue: Recent Developments in Bootstrap Methods for Dependent Data

Sparked by Efron's (1979) seminal article, the decade of the 1980s was a period of active research on bootstrap methods for independent data – mainly i.i.d. or regression set-ups. By contrast, in the 1990s much research was directed towards resampling dependent data, for example, time series and random fields. Several time series resampling methods were devised and studied over that period; a non-exhaustive list includes AutoRegressive (AR)-sieve bootstrap, block bootstrap, circular bootstrap, stationary bootstrap, continuous-path block bootstrap, tapered block bootstrap, frequency-domain bootstrap and local bootstrap. Lahiri (2003) and Politis (2003) gave extensive accounts of the state-of-the-art of the statistical literature on bootstrap for time series at the end of this 10–12 year period of intensive research; a more up-to-date review is provided by Kreiss & Paparoditis (2011).


At the same time, research and applications involving the bootstrap have been exploding in the econometrics literature. Among many, some fields of application of the bootstrap include bootstrap inference on the persistence of time series, unit root and co-integration, dynamic factor models, stationary and non-stationary panels and time series subject to structural change. In this context, the main motivation behind the Copenhagen conference was to bridge the gap between these two strands of the bootstrap literature by gathering together statisticians and econometricians involved in high-quality research on bootstrap methods, in the hope to foster new work and possible collaborations. The special issue at hand, which is the result of this process, contains 11 articles presented at the Copenhagen conference and/or inspired by them.

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