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 study both linear and nonlinear 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.

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Year of publication:	2002-02
Authors:	Kokoszka, Piotr ; Wolf, Michael
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Heavy tails \| linear time series \| subsampling

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C10 - Econometric and Statistical Methods: General. General ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005707980