On inference based on the one-sample sign statistic for long-range dependent data

DOI10.1007/S00180-009-0179-3MaRDI QIDQ2430249zbMATH OpenOpenAlexFDO

Authors Zacharias Psaradakis

Publication date 6 April 2011

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-009-0179-3

zbMATH Keywords

confidence intervalsGaussian subordinationlong-range dependencesign statisticsubsampling

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20)

Review text

The problem of statistical inference for the location parameter of the marginal distribution of a strictly stationary long-range dependent random process is considered. The behaviour of the sign statistic for long-range dependent random processes is studied. The subsampling method [\textit{D. Politis, J. P. Romano} and \textit{M. Wolf}, Subsampling. New York, NY: Springer (1999; Zbl 0931.62035); \textit{S. N. Lahiri}, Resampling methods for dependent data. New York, NY: Springer (2003; Zbl 1028.62002)] for approximating the distribution of a sign statistic is discussed and its asymptotic properties are established. Asymptotically valid confidence intervals and hypothesis tests are constructed. A Monte Carlo simulation study is presented to reveal the small-sample properties of subsampling-based inference procedures.

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Cited in

(1)

• How the instability of ranks under long memory affects large-sample inference

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