Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010
characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile …We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … breakdown point. A similar robustness problem arises in relation to data-driven methods for selecting the block size in …