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http://dx.doi.org/10.9709/JKSS.2010.19.3.119

A Study of Applying Bootstrap Method to Seasonal Data  

Park, Jin-Soo (성균관대학교 시스템경영공학과)
Kim, Yun-Bae (성균관대학교 시스템경영공학과)
Publication Information
Journal of the Korea Society for Simulation / v.19, no.3, 2010 , pp. 119-125 More about this Journal
Abstract
The moving block bootstrap, the stationary bootstrap, and the threshold bootstrap are methods of simulation output analysis, which are applicable to autocorrelated data. These bootstrap methods assume the stationarity of data. However, bootstrap methods cannot work if the stationary assumption is not guaranteed because of seasonality or trends in data. In the simulation output analysis, threshold bootstrap method is the best in describing the autocorrelation structure of original data set. The threshold bootstrap makes the cycle based on threshold value. If we apply the bootstrap to seasonality data, we can get similar accuracy of the results. In this paper, we verify the possibility of applying the bootstrap to seasonal data.
Keywords
Bootstrap; Seasonality; Simulation output analysis;
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