ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS

DOI10.1017/S026646660218501XMaRDI QIDQ4807322zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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)

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Cited in

(13)

• Ratio detections for change point in heavy tailed observations
• Monitoring persistence change in infinite variance observations
• Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
• A fine-tuned estimator of a general convergence rate
• A new approach on estimation of the tail index
• Subsampling inference for the mean in the heavy-tailed case.
• 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

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