A Simple Bootstrap Method for Time Series
Yuzhi Cai, Neville Davies · Communications in Statistics - Simulation and Computation · 2011
In this article we present a simple bootstrap method for time series. The proposed method is model-free, and hence it enables us to avoid certain situations where the bootstrap samples may contain impossible values due to resampling from the residuals. The method is easy to implement and can be applied to stationary and nonstationary time series. The simulation results and the application to real time series data show that the method works very well.