Subsampling weakly dependent time series and application to extremes

DOI10.1007/S11749-011-0269-8MaRDI QIDQ1761535zbMATH OpenOpenAlexFDO

Authors Paul Doukhan, Silika Prohl, C. Y. Robert

Publication date 15 November 2012

Published in Test (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.0805

zbMATH Keywords

max-stable distributionssubsamplingweakly dependent time series

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: This paper provides extensions of the work on subsampling by Bertail et al. (2004) for strongly mixing case to weakly dependent case by application of the results of Doukhan and Louhichi (1999). We investigate properties of smooth and rough subsampling estimators for distributions of converging and extreme statistics when the underlying time series is {eta} or {lambda}-weakly dependent.

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Cited in

(9)

• K-sample subsampling in general spaces: the case of independent time series
• Weak convergence of dependent empirical measures with application to subsampling in function spaces
• Subsampling the distribution of diverging statistics with applications to finance
• Corrigendum to: ``Subsampling inference for the mean of heavy-tailed long-memory time series.
• On the extremes of randomly sub-sampled time series
• Subsampling inference for the mean of heavy-tailed long-memory time series
• Subsampling Continuous Parameter Random Fields and a Bernstein Inequality
• On the measurement and treatment of extremes in time series
• On weak dependence conditions: the case of discrete valued processes

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