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Truncated Geometric Bootstrap Method for Time Series Stationary Process
Department of Mathematical Science, Olabisi Onabanjo University, Ago-Iwoye, Nigeria
- 1 Department of Mathematical Science, Olabisi Onabanjo University, Ago-Iwoye, Nigeria
Applied Mathematics·Volume 05 (2014)·Pages 2057–2061·Published 7 July 2014·DOI10.4236/am.2014.513199
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Abstract
This paper introduced a bootstrap method called truncated geometric bootstrap method for time series stationary process. We estimate the parameters of a geometric distribution which has been truncated as a probability model for the bootstrap algorithm. This probability model was used in resampling blocks of random length, where the length of each blocks has a truncated geometric distribution. The method was able to determine the block sizes b and probability p attached to its random selections. The mean and variance were estimated for the truncated geometric distribution and the bootstrap algorithm developed based on the proposed probability model.
KeywordsTruncated Geometric Bootstrap MethodStationary ProcessMoving Block and Geometric Stationary Bootstrap Method
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