VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES

DOI10.1017/S0266466605050541MaRDI QIDQ3377444zbMATH OpenFDO

Authors Daniel J. Nordman, Soumendra N. Lahiri

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466605050541

zbMATH Keywords

tables

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 1239649
• scientific article; zbMATH DE number 1424401
• Block sampling under strong dependence
• On the validity of resampling methods under long memory
• On the asymptotic theory of subsampling

Cites work

• Convergence of integrated processes of arbitrary Hermite rank
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 3860263 (Why is no real title available?)
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Non-central limit theorems for non-linear functional of Gaussian fields
• On large-sample estimation for the mean of a stationary random sequence
• On the moving block bootstrap under long range dependence
• The Invariance Principle for Stationary Processes
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(20)

• Confidence regions for entries of a large precision matrix
• Convolved subsampling estimation with applications to block bootstrap
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• On inference based on the one-sample sign statistic for long-range dependent data
• Block sampling under strong dependence
• Rank-based change-point analysis for long-range dependent time series
• A unified approach to self-normalized block sampling
• Subsampling inference for the mean of heavy-tailed long-memory time series
• On robust tail index estimation for linear long-memory processes
• Subsampling Methodology for the Analysis of Nonlinear Atmospheric Time Series
• Properties of a block bootstrap under long-range dependence
• scientific article; zbMATH DE number 1239649 (Why is no real title available?)
• Block Bootstrap for the Empirical Process of Long‐Range Dependent Data
• scientific article; zbMATH DE number 1424401 (Why is no real title available?)
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• Mean tests for high-dimensional time series
• How the instability of ranks under long memory affects large-sample inference
• On the validity of resampling methods under long memory
• Bootstrap unit root inference for linear processes of possibly heavy-tailed GARCH-type noises
• Properties of Test Statistics for Nonparametric Cointegrating Regression Functions Based on Subsamples

This page was built for publication: VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3377444)