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Re: st: Re; bootstrapping and time series

From   Stas Kolenikov <[email protected]>
To   [email protected]
Subject   Re: st: Re; bootstrapping and time series
Date   Sat, 9 Oct 2004 12:06:14 -0400

On Sat, 09 Oct 2004 13:03:58 +0900, Joseph Coveney
<[email protected]> wrote:
> Stas Kolenikov might have already made such a recommendation in a related
> thread, but in case he hasn't, does anyone have any recommendations for an
> intermediate-level reference for those of us on the list who would like to be
> aware of the various "how-to's," "you-can't-do-thats" and "watch outs" for
> bootstrapping?  I'm aware of several books, from introductory- to theoretical-
> level, but does anyone have favorites to recommend?

No, I did not, mainly for the reason that I had not seen a nice book
that would have this hands-on approach. There are about 10 books on
the market, they somewhat differ in coverage, and to get a good idea
about the method, you need to scan all of them.

My source of primary importance was "Subsampling" class by Ed
Carlstein at UNC Statistics Department. It had a thorough enough
theoretical coverage with a bunch of vivid examples that made it clear
when the method breaks down, and what are the theoretial reasons for
bias, or lack of consistency, or whatever.

Stas Kolenikov
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