#statistics #timeseries #python #datascience #bootstrap | Sankalp Gilda, Ph.D.
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linkedin.comSankalp Gilda, Ph.D.
#statistics #timeseries #python #datascience #bootstrap | Sankalp Gilda, Ph.D.
Your bootstrap is lying to you. Feed the ordinary bootstrap a time series and it quietly assumes every observation is independent. It almost never is. So it resamples away the structure in your data and hands back a confidence interval that is far too narrow. On a series I built with a true mean of exactly zero, a "90% interval" covered the ...
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