Hello. I have a problem with selecting the right block size, when I want to bootstrap multivariate non-iid time series.
Assume we have N time series each of length T and obtain for each time series an optimal block size l. So we get l1, l2,..., lN optimal block sizes. When I want to apply a block bootstrap method (circular or stationary bootstrap) I have to draw blocks to sustain the serial dependency structure of each time series, before computing my statistic. How long is the one block size for that multivariate bootstrap, which I have to draw? - Is it max(l1,...,lN)? Does anyone have any idea or a paper-link, where the topic is covered? Thank you very much for your help. Sincerely, Andreas ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
