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 normalitycovariancelong-range dependencelinear processesRosenblatt distributionHermite processes

Mathematics Subject Classification ID

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

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

(12)

• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Rank-based change-point analysis for long-range dependent time series
• Effects of block lengths on the validity of block resampling methods
• A unified approach to self-normalized block sampling
• Sample quantile analysis for long-memory stochastic volatility models
• Quantilograms under strong dependence
• Unsupervised self-normalized change-point testing for time series
• Properties of a block bootstrap under long-range dependence
• 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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