Subsampling the mean of heavy-tailed dependent observations

被引：40

作者：

Kokoszka, P

Wolf, M

机构：

[1] Utah State Univ, Logan, UT 84322 USA

[2] Univ Pompeu Fabra, Barcelona 08005, Spain

来源：

JOURNAL OF TIME SERIES ANALYSIS | 2004年 / 25卷 / 02期

关键词：

estimation of the mean; heavy tails; GARCH; subsampling;

D O I：

10.1046/j.0143-9782.2003.00346.x

中图分类号：

O1 [数学];

学科分类号：

0701 [数学]; 070101 [基础数学];

摘要：

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.

引用

页码：217 / 234

页数：18

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