Subsampling inference for the autocovariances and autocorrelations of long‐memory heavy‐ tailed linear time series
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Publication:5397967
DOI10.1111/j.1467-9892.2012.00808.xzbMath1281.62201MaRDI QIDQ5397967
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
linear time series; self-normalization; parameter-dependent convergence rates; subsampling confidence intervals
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62D05: Sampling theory, sample surveys
62G32: Statistics of extreme values; tail inference
Related Items
On the measurement and treatment of extremes in time series, On model Fitting and estimation of strictly stationary processes, On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
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