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

DOI10.1017/S026646660218501XzbMath1023.62088OpenAlexW2159732468MaRDI QIDQ4807322

Dimitris N. 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)

Related Items (8)

A unified approach to self-normalized block sampling ⋮ Subsampling the mean of heavy‐tailed dependent observations ⋮ Ratio detections for change point in heavy tailed observations ⋮ Computer-intensive rate estimation, diverging statistics and scanning ⋮ On the measurement and treatment of extremes in time series ⋮ Stable marked point processes ⋮ Monitoring persistence change in infinite variance observations ⋮ A new approach on estimation of the tail index

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