On blocking rules for the bootstrap with dependent data

We address the issue of optimal block choice in applicationsof the block bootstrap to dependent data. It is shown that optimalblock size depends significantly on context, being equal ton^1/3, n^1/4 and n^1/5 in the cases of variance or bias estimation,estimation of a onesided distribution function, and estimationof a two-sided distribution function, respectively. A clearintuitive explanation of this phenomenon is given, togetherwith outlines of theoretical arguments in specific cases. Itis shown that these orders of magnitude of block sizes can beused to produce a simple, practical rule for selecting blocksize empirically. That technique is explored numerically.