Incorporating a change-point estimator when bootstrapping the empirical distribution of a stationary process

Abstract

The moving block bootstrap can be used to determine critical values for test statistics used to detect a change-point in the marginal distribution of a stationary time series. We examine the impact of incorporating an estimator of the change-point when centering the bootstrap blocks and establish conditions under which the bootstrapped test statistics remain stochastically bounded regardless of whether or not a change is present.

Keywords:

• Stationary process
• empirical distribution
• moving block bootstrap
• change-point
• asymptotic behavior

AMS 2000 Subject Classifications: Primary:

• 62G09
• 62M10
• Secondary 62G30
• 60G10
• 60F17

Additional information

Funding

Research of Gail Ivanoff was supported by a grant from the Natural Sciences and Engineering Research Council of Canada.