166 views

### Significance Testing of Difference in Variances of Autocorrelated Time Series Data

I have two consecutive time series of different length that both vary around some common mean, but exhibit different variances, see exemplary figures below. Both show quite substantial autocorrelation....
45 views

### Simulation of correlated stochastic processes based on some time series

I'd like to simulate power output time series of other wind farms based on measured outputs of one (or more) wind farms. Specifically, I have data on power outputs of wind farm ...
77 views

### Time series simulation based on a given time series

I’m looking for some procedures to simulate time series based on another time series as an input. The objective is that it may provide me with more training datasets that are similar to the given ...
115 views

### How to bootstrap single equation autoregressive models?

I have been reading many papers where confidence intervals for the impulse responses of autoregressive process have been boot-strapped. The question is, is the usual way sufficient? Take as an example ...
170 views

### How can you draw samples from a multidimensional time series?

I'm aware of MCMC methods such as Metropolis Hastings and friends, but these methods assume a stable posterior distribution. Is there a way to draw samples from a multidimensional timeseries? For ...
9k views

### Block bootstrap for a novice [duplicate]

To put my question into context, I am a physicist but with limited exposure to statistics and what I have learned about it was over 30 years ago. I am trying to learn about block bootstrapping as ...
68 views

### Is bootstrap approach reserved for specific type of data?

Currently, I am working on historic climate variable data of precipitation and temperature. I want to resample my data to find out variability in precipitation and temperature. But I read somewhere ...
3k views

### Sampling from Empirical CDF for Forecasting

I'm trying to forecast the future distribution of a particular interest rate based on its quarterly percentage changes. My assumptions are that: The observations are independent The distribution ...