Subsampling
The book concerns one of the resampling methods -- subsampling -- that has received considerable attention in the nineties. The method relies on recomputing a statistic under consideration over appropriate subsamples of the data set and using these recomputed values to approximate a sampling distribution. The method is closely related to the bootstrap method. It has appeared that subsampling provides consistency results under very weak assumptions even for situations where the usual bootstrap does not. The authors remarkably contributed to the development of the subsampling methodology. The goal of this book is to provide a rigorous foundation for the theory and practice of the subsampling methodology. The book is divided into two parts. Chapters 1 -- 7 provide the basic theory of the bootstrap and subsampling. Chapters 8 -- 13 contain extensions of the basic theory and practical issues in implementation and applications. Chapter 1 contains the basic theory of the bootstrap for independent data. It also provides the mathematical tools needed in studying consistency properties of resampling methods. Chapter 2 concerns the subsampling in the case of independent and identically distributed observations, while Chapter 3 is devoted to subsampling for stationary time series. Generalizations to the nonstationary or heteroscedastic case are presented in Chapter 4. Chapter 5 concerns the subsampling for random fields and Chapter 6 does the subsampling for marked point processes. The first part of the book is closed by Chapter 7 where a quite general assertion on subsampling is proved, namely, the parameter space can be quite abstract. The later chapters are devoted to the following topics: The problem of choice of block size; Higher-order accuracy and interpolation; Subsampling means with heavy tails; Inference for an autoregressive parameter in the possibly integrated case; Application of subsampling to finance, particularly the problem of predictability of stock returns from dividend yields is deeply discussed. The appendices contain results on mixing sequences that are used throughout the book. The book is intended for graduate students and researchers. Basic knowledge of theoretical statistics is assumed. Chapters 1 -- 3 can serve as an introduction to subsampling. The book provides a large number of illustrative (theoretical) examples, however there are no exercises. It contains an index of authors and an index of subjects, however a list of symbols is missing. The book concerns a topic that is still developing quite fast and that has appeared to provide useful approximations to the distributions of various statistics. I think that this book is well written. Many statisticians will find it interesting and useful.
- Smoothed weighted empirical likelihood ratio confidence intervals for quantiles
- An alternative to the \(m\) out of \(n\) bootstrap
- A frequentist understanding of sets of measures
- A goodness of fit test for copulas based on Rosenblatt's transformation
- Cross-sectional dependence robust block bootstrap panel unit root tests
- Bootstrapping an inhomogeneous point process
- K-sample subsampling in general spaces: the case of independent time series
- Computationally efficient confidence intervals for cross-validated area under the ROC curve estimates
- An alternative bootstrap to moving blocks for time series regression models
- Testing regions with nonsmooth boundaries via multiscale bootstrap
- Minimum variance rectangular designs for U-statistics.
- Control of generalized error rates in multiple testing
- Local block bootstrap
- Computing confidence intervals for log-concave densities
- Model based bootstrap methods for interval censored data
- Subsampling based inference for U statistics under thick tails using self-normalization
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- Gradient-based structural change detection for nonstationary time series M-estimation
- Self-normalization: taming a wild population in a heavy-tailed world
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Bounding average treatment effects: a linear programming approach
- Periodically correlated modeling by means of the periodograms asymptotic distributions
- Subsampling for nonstationary time series with non-zero mean function
- Tapered block bootstrap for unit root testing
- On the asymptotic distribution of (generalized) Lorenz transvariation measures
- Bootstrap methods for stationary functional time series
- Applications of distance correlation to time series
- Generalized subsampling procedure for non-stationary time series
- A smooth nonparametric approach to determining cut-points of a continuous scale
- Computation of maximum likelihood estimates in cyclic structural equation models
- Convolved subsampling estimation with applications to block bootstrap
- Resampling methods for estimating variance in surveys
- Linear regression for uplift modeling
- Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference
- Local M-estimation with discontinuous criterion for dependent and limited observations
- Subsampling weakly dependent time series and application to extremes
- On optimal spatial subsample size for variance estimation
- Attributing a probability to the shape of a probability density
- Sensitivity of the bounds on the ATE in the presence of sample selection
- On inference validity of weighted U-statistics under data heterogeneity
- The numerical delta method
- Stable graphical model estimation with random forests for discrete, continuous, and mixed variables
- External bootstrap tests for parameter stability.
- Bootstraps for time series
- On the asymptotic accuracy of the bootstrap under arbitrary resampling size
- A multiple variance ratio test using subsampling
- Dependent functional data
- Using labeled data to evaluate change detectors in a multivariate streaming environment
- Test for high dimensional covariance matrices
- Testing constancy in varying coefficient models
- Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores
- Bidding frictions in ascending auctions
- Consistent validation of gray-level thresholding image segmentation algorithms based on machine learning classifiers
- Operational aspect of the policy coordination for financial stability: role of Jeffreys-Lindley's paradox in operations research
- Optimal linear discriminators for the discrete choice model in growing dimensions
- High-dimensional inference for linear model with correlated errors
- Canonical quantile regression
- Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density
- Adjusted-range self-normalized confidence interval construction for censored dependent data
- The integrated copula spectrum
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- Minimax optimality of permutation tests
- General and feasible tests with multiply-imputed datasets
- Optimal difference-based variance estimators in time series: a general framework
- Ridge regression revisited: debiasing, thresholding and bootstrap
- Bootstrap confidence regions based on M-estimators under nonstandard conditions
- The numerical bootstrap
- Theory and statistical properties of quantile data envelopment analysis
- Information-based optimal subdata selection for big data logistic regression
- Spanning tests for Markowitz stochastic dominance
- Identification of supervised and sparse functional genomic pathways
- A Monte Carlo subsampling method for estimating the distribution of signal-to-noise ratio statistics in nonparametric time series regression models
- Crawling subsampling for multivariate spatial autoregression model in large-scale networks
- Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
- Detecting departures from meta-ellipticity for multivariate stationary time series
- Distributed one-step upgraded estimation for non-uniformly and non-randomly distributed data
- Subsampling (weighted smooth) empirical copula processes
- Autoregressive wild bootstrap inference for nonparametric trends
- Model-based INAR bootstrap for forecasting INAR\((p)\) models
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Estimating transformation function
- Quantile regression approach to conditional mode estimation
- Nonparametric Gaussian inference for stable processes
- Asymptotically exact inference in conditional moment inequality~models
- Two sample inference for the second-order property of temporally dependent functional data
- Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
- Generalised density forecast combinations
- Nonsingular subsampling for regression S estimators with categorical predictors
- Confidence sets for the maximizers of intensity functions
- The asymptotic distribution of the delete-\(d\) jackknife variance estimator for smooth functionals
- Subsampling the distribution of diverging statistics with applications to finance
- Data-based decision rules about the convexity of the support of a distribution
- A nonstandard empirical likelihood for time series
- Block sampling under strong dependence
- A general approach to the joint asymptotic analysis of statistics from sub-samples
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- Testing for separability in structural equations
- Subsampling for continuous-time almost periodically correlated processes
- Computer-intensive rate estimation, diverging statistics and scanning
- Consistency and application of moving block bootstrap for non-stationary time series with periodic and almost periodic structure
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