A unified approach to self-normalized block sampling

DOI10.1016/j.spa.2016.02.007zbMath1338.62123arXiv1512.00820OpenAlexW2963073764MaRDI QIDQ288844

F. Blanchet-Sadri, M. Dambrine

Publication date: 27 May 2016

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

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

zbMATH Keywords

time seriesheavy tailslong memorylong-range dependencesubsamplingself-normalizationblock samplingsampling window

Mathematics Subject Classification ID

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

Related Items

Subsampling based inference for \(U\) statistics under thick tails using self-normalization, Block Bootstrap for the Empirical Process of Long‐Range Dependent Data, How the instability of ranks under long memory affects large-sample inference, Corrigendum to ‘Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis, Asymptotic Behavior of Optimal Weighting in Generalized Self‐Normalization for Time Series, On optimal block resampling for Gaussian-subordinated long-range dependent processes

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