Bootstrap方法在时间序列中的应用

Application of Bootstrap Method in Time Series

本文通过对进出口总额这一时间序列数据进行分析,运用B-J方法进行建模,通过模拟得到了系数在大样本理论下不满足渐进正态分布的结论,为了进一步验证,本文运用了参数Bootstrap方法对系数进行估计。结论表明,大样本情形下系数并不总是渐进正态分布的。

This paper analyzes the time series data of total import and export volume, uses the method to model, and gets the conclusion that the coefficient does not meet the asymptotic normal distribution under the theory of large sample through simulation. In order to further verify the conclusion, the paper uses the parameter method to estimate the coefficient. The conclusion shows that the coefficients are not always asymptotically normally distributed in the case of large samples.