Subsampling the mean of heavy-tailed dependent observations
We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy-tailed marginal distributions. Using point process theory, we focus on GARCH-like time series models. We propose a data-dependent method for the optimal block size selection and investigate its performance by means of a simulation study. Copyright 2004 Blackwell Publishing Ltd.
Year of publication: |
2004
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Authors: | Kokoszka, Piotr ; Wolf, Michael |
Published in: |
Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 2, p. 217-234
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Publisher: |
Wiley Blackwell |
Saved in:
freely available
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