Subsampling the mean of heavy‐tailed dependent observations

DOI10.1046/j.0143-9782.2003.00346.xzbMath1051.62078MaRDI QIDQ4828178

Michael Wolf, Piotr S. Kokoszka

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/384

zbMATH Keywords

heavy tails; subsampling; estimation of mean; GARCH processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Truncating Estimation for the Mean Change-Point in Heavy-Tailed Dependent Observations, Bootstrap Testing for Changes in Persistence with Heavy-Tailed Innovations, Monitoring persistent change in a heavy-tailed sequence with polynomial trends, Bootstrap testing multiple changes in persistence for a heavy-tailed sequence, Bootstrap tests for structural change with infinite variance observations, Monitoring persistence change in infinite variance observations, Subsampling tests for the mean change point with heavy-tailed innovations

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