On the validity of resampling methods under long memory

DOI10.1214/16-AOS1524MaRDI QIDQ682284zbMATH OpenOpenAlexFDO

Authors Shuyang Bai, Murad S. Taqqu

Publication date 14 February 2018

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.00819, https://projecteuclid.org/euclid.aos/1513328576

zbMATH Keywords

block samplinglong-range dependenceresamplingsubsamplinglong memorycanonical correlationsampling windownoncentral limit theorems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Abstract: For long-memory time series, inference based on resampling is of crucial importance, since the asymptotic distribution can often be non-Gaussian and is difficult to determine statistically. However due to the strong dependence, establishing the asymptotic validity of resampling methods is nontrivial. In this paper, we derive an efficient bound for the canonical correlation between two finite blocks of a long-memory time series. We show how this bound can be applied to establish the asymptotic consistency of subsampling procedures for general statistics under long memory. It allows the subsample size $b$ to be $o(n)$, where $n$ is the sample size, irrespective of the strength of the memory. We are then able to improve many results found in the literature. We also consider applications of subsampling procedures under long memory to the sample covariance, M-estimation and empirical processes.

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Cited in

(10)

• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Rank-based change-point analysis for long-range dependent time series
• Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
• A unified approach to self-normalized block sampling
• A blockwise empirical likelihood method for time series in frequency domain inference
• Resampling and Subsampling for Financial Time Series
• Using subspace methods to model long-memory processes
• How the instability of ranks under long memory affects large-sample inference
• Convolved subsampling estimation with applications to block bootstrap
• VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES

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