ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS
DOI10.1017/S026646660218501XzbMATH Open1023.62088OpenAlexW2159732468MaRDI QIDQ4807322FDOQ4807322
Authors: Dimitris Politis, Tucker S. McElroy 
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646660218501x
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Numerical computation of matrix norms, conditioning, scaling (65F35)
Cited In (13)
- Monitoring persistence change in infinite variance observations
- A fine-tuned estimator of a general convergence rate
- Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
- Subsampling inference for the mean in the heavy-tailed case.
- A new approach on estimation of the tail index
- A unified approach to self-normalized block sampling
- Subsampling based inference for \(U\) statistics under thick tails using self-normalization
- t-Statistic Based Correlation and Heterogeneity Robust Inference
- Computer-intensive rate estimation, diverging statistics and scanning
- Stable marked point processes
- On the measurement and treatment of extremes in time series
- Subsampling the mean of heavy‐tailed dependent observations
- Ratio detections for change point in heavy tailed observations
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