July 2016
Beginner to intermediate
462 pages
9h 14m
English
Content preview from Python Data Analysis CookbookBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Moving block bootstrapping time series data
If you followed along with the Block bootstrapping time series data recipe, you are now aware of a simple bootstrapping scheme for time series data. The moving block bootstrapping algorithm is a bit more complicated. In this scheme, we generate overlapping blocks by moving a fixed size window, similar to the moving average. We then assemble the blocks to create new data samples.
In this recipe, we will apply the moving block bootstrap to annual temperature data to generate lists of second difference medians and the slope of an AR(1) model. This is an autoregressive model with lag 1. Also, we will try to neutralize outliers and noise with a median filter.
How to do it...
The following code snippets are from ...
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