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G. Albeanu, H. Madsen, B. Burtschy, Fl. Popentiu-Vladicescu, Manuela Ghica. Bootstrapping time series with application to risk management. R & RATA, Electronic Journal of International Group on Reliability, ISSN 1932-2321, Vol 1(3), pp. 84-93, 2008.

Abstract: The bootstrap method is an extensive computational approach, based on
Monte Carlo simulation, useful for understanding random samples and time series. It is a powerful
tool, especially when only a small data set is used to predict the behaviour of systems or processes.
This paper presents the results of an investigation on using bootstrap resampling (different types:
uniform, importance based, block structured etc.) for time series appearing during software life
cycle (mainly the software testing phase, and debugging), economics, and environment (air
pollution generated by cement plants) in order to help the activity of staff working on risk
management for software projects, risk management in finance, and those working on environment
risk management.

Keywords: bootstrap, risk management, software, finance, environment, time series

URL: http://www.gnedenko-forum.org/Journal/files/032008/RATA_3_2008-08.pdf

Posted by G. Albeanu

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