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st: RE: Distribution testing time series -monte carlo simulation


From   "Maarten Buis" <[email protected]>
To   <[email protected]>
Subject   st: RE: Distribution testing time series -monte carlo simulation
Date   Wed, 24 Jan 2007 10:33:03 +0100

--- [email protected] wrote:
> I have a time series with 40 obs. Based on the underlying process of the
> series I would like to generate 5000 (for example) observations, so then I
> can generate a robust (in the sense of being based on many observations)
> concrete probability distribution . In order to do that what I though I could
> do is:
> 
> - First, distribution testing of my original series, and then monte carlo
> simulation.
> 
> Question: is there any command that allows me to test which is the best
> distribution that fits my data, or do I need to test this distribution by
> distribution (e.g. normality tests, chi-square...and so on).
>
> - Is there any other command that allows me to generate observations (based
> on the underlysing process of a time seies)?
> (e.g. Can bsample, or bootstrap be of any help?)


I think what you are proposing has already been invented before 
(this happens to most of my genius inventions too): it sounds a 
lot like parametric bootstrap. A basic introduction in this area 
can be found in section 6.5 in (Efron and Tibshirani 1993).

With time series data finding the distribution from which to 
draw your observations is probably the least of your problems. 
A more serious problem with time-series models is serial 
correlation. Efron and Tibshirani (1993) give in chapter 8 some 
pointers on ways of doing the bootstrap with time series data. 

Bradley Efron and Robert J. Tibshirani (1993) "An introduction 
to the bootstrap". Boca Raton: Chapman & Hall/CRC.

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


 

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