A unified approach to self-normalized block sampling

DOI10.1016/J.SPA.2016.02.007zbMATH Open1338.62123arXiv1512.00820OpenAlexW2963073764MaRDI QIDQ288844FDOQ288844

Authors: Shuyang Bai, Murad S. Taqqu, Ting Zhang 

Publication date: 27 May 2016

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

Abstract: The inference procedure for the mean of a stationary time series is usually quite different under various model assumptions because the partial sum process behaves differently depending on whether the time series is short or long-range dependent, or whether it has a light or heavy-tailed marginal distribution. In the current paper, we develop an asymptotic theory for the self-normalized block sampling, and prove that the corresponding block sampling method can provide a unified inference approach for the aforementioned different situations in the sense that it does not require the {em a priori} estimation of auxiliary parameters. Monte Carlo simulations are presented to illustrate its finite-sample performance. The R function implementing the method is available from the authors.

Full work available at URL: https://arxiv.org/abs/1512.00820

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zbMATH Keywords

block samplingheavy tailstime serieslong-range dependenceself-normalizationsubsamplinglong memorysampling window

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Self-similar stochastic processes (60G18)

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Cited In (10)

• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• Corrigendum to: ``Subsampling inference for the mean of heavy-tailed long-memory time series.
• A time-symmetric self-normalization approach for inference of time series
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• Subsampling based inference for \(U\) statistics under thick tails using self-normalization
• Asymptotic behavior of optimal weighting in generalized self-normalization for time series
• Inference for modulated stationary processes
• A general approach to the joint asymptotic analysis of statistics from sub-samples
• How the instability of ranks under long memory affects large-sample inference

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