Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series

DOI10.1111/J.1467-9892.2012.00808.XMaRDI QIDQ5397967zbMATH OpenOpenAlexFDO

Authors Agnieszka Jach, Tucker S. McElroy

Publication date 25 February 2014

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00808.x

zbMATH Keywords

linear time seriesself-normalizationparameter-dependent convergence ratessubsampling confidence intervals

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Subsampling inference for the mean of heavy-tailed long-memory time series
• Sample autocovariances of long-memory time series
• On the validity of resampling methods under long memory
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• ROBUST INFERENCE FOR THE MEAN IN THE PRESENCE OF SERIAL CORRELATION AND HEAVY-TAILED DISTRIBUTIONS

Cites work

• scientific article; zbMATH DE number 5361940 (Why is no real title available?)
• scientific article; zbMATH DE number 3814689 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 5224889 (Why is no real title available?)
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A new weak dependence condition and applications to moment inequalities
• Adaptive choice of bootstrap sample sizes
• BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
• Dependent Lindeberg central limit theorem and some applications
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• Limit theory for the sample covariance and correlation functions of moving averages
• On joint Fourier-Laplace transforms
• Sample autocovariances of long-memory time series
• Subsampling inference for the mean of heavy-tailed long-memory time series
• The detection and estimation of long memory in stochastic volatility
• The tail empirical process for long memory stochastic volatility sequences
• Time series: theory and methods.
• Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
• Weak convergence of multivariate fractional processes

Cited in

(6)

• Small-sample Autocorrelation Structure for Long-memory Time Series
• On the validity of resampling methods under long memory
• On model Fitting and estimation of strictly stationary processes
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• On the measurement and treatment of extremes in time series
• Subsampling inference for the mean of heavy-tailed long-memory time series

This page was built for publication: Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5397967)