A unified approach to self-normalized block sampling

DOI10.1016/J.SPA.2016.02.007zbMath1338.62123arXiv1512.00820OpenAlexW2963073764MaRDI QIDQ288844

F. Blanchet-Sadri, M. Dambrine

Publication date: 27 May 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.00820

zbMATH Keywords

time seriesheavy tailslong memorylong-range dependencesubsamplingself-normalizationblock samplingsampling window

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Self-similar stochastic processes (60G18)

Related Items (7)

Subsampling based inference for \(U\) statistics under thick tails using self-normalization ⋮ Block Bootstrap for the Empirical Process of Long‐Range Dependent Data ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ Robust inference theory for non-regular time series models and its extensions ⋮ Corrigendum to ‘Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis ⋮ Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series ⋮ On optimal block resampling for Gaussian-subordinated long-range dependent processes

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