Computer-intensive rate estimation, diverging statistics and scanning
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Abstract: A general rate estimation method is proposed that is based on studying the in-sample evolution of appropriately chosen diverging/converging statistics. The proposed rate estimators are based on simple least squares arguments, and are shown to be accurate in a very general setting without requiring the choice of a tuning parameter. The notion of scanning is introduced with the purpose of extracting useful subsamples of the data series; the proposed rate estimation method is applied to different scans, and the resulting estimators are then combined to improve accuracy. Applications to heavy tail index estimation as well as to the problem of estimating the long memory parameter are discussed; a small simulation study complements our theoretical results.
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- A new approach on estimation of the tail index
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- Bagging predictors
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- Subsampling
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- Using a bootstrap method to choose the sample fraction in tail index estimation
- Variance-type estimation of long memory
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(12)- Summability of stochastic processes -- a generalization of integration for non-linear processes
- A fine-tuned estimator of a general convergence rate
- Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
- FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
- Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
- Detection of long range dependence in the time domain for (in)finite-variance time series
- A nonstandard empirical likelihood for time series
- Online Covariance Matrix Estimation in Stochastic Gradient Descent
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- On the measurement and treatment of extremes in time series
- Subsampling inference for the mean of heavy-tailed long-memory time series
- Tail index estimation in the presence of long-memory dynamics
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