Block sampling under strong dependence

DOI10.1016/J.SPA.2013.02.006MaRDI QIDQ2444643zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 10 April 2014

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

Full work available at URL https://arxiv.org/abs/1312.5807

zbMATH Keywords

asymptotic normalitycovarianceHermite processeslinear processeslong-range dependenceRosenblatt distribution

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonparametric statistical resampling methods (62G09) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall, Jing and Lahiri (1998) on functionals of Gaussian processes and Nordman and Lahiri (2005) on linear processes. In particular, we allow nonlinear transforms of linear processes. Under suitable conditions on physical dependence measures, we prove the validity of the block sampling method. The problem of estimating the self-similar index is also studied.

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Cited in

(13)

• Convolved subsampling estimation with applications to block bootstrap
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Rank-based change-point analysis for long-range dependent time series
• A unified approach to self-normalized block sampling
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• scientific article; zbMATH DE number 1239649 (Why is no real title available?)
• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• Unsupervised self-normalized change-point testing for time series
• Quantilograms under strong dependence
• Effects of block lengths on the validity of block resampling methods
• How the instability of ranks under long memory affects large-sample inference
• Sample quantile analysis for long-memory stochastic volatility models

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