Subsampling inference for the mean of heavy-tailed long-memory time series
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Cites work
- A new weak dependence condition and applications to moment inequalities
- Adaptive choice of bootstrap sample sizes
- Computer-intensive rate estimation, diverging statistics and scanning
- Dependent Lindeberg central limit theorem and some applications
- scientific article; zbMATH DE number 1239649 (Why is no real title available?)
- scientific article; zbMATH DE number 486467 (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?)
- Limit theory for the sample covariance and correlation functions of moving averages
- Non-mixing properties of long memory processes
- On joint Fourier-Laplace transforms
- On the choice of m in the m out of n bootstrap and confidence bounds for extrema
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(20)- Subsampling based inference for U statistics under thick tails using self-normalization
- A Monte Carlo subsampling method for estimating the distribution of signal-to-noise ratio statistics in nonparametric time series regression models
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
- Rank-based change-point analysis for long-range dependent time series
- Corrigendum to: ``Subsampling inference for the mean of heavy-tailed long-memory time series.
- A unified approach to self-normalized block sampling
- Subsampling the mean of heavy‐tailed dependent observations
- Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
- scientific article; zbMATH DE number 1424401 (Why is no real title available?)
- Long range dependence for stable random processes
- On the measurement and treatment of extremes in time series
- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
- Subsampling inference for the autocovariances and autocorrelations of long-memory heavy-tailed linear time series
- Reassessing the evidence on factor and portfolio premia
- How the instability of ranks under long memory affects large-sample inference
- On the validity of resampling methods under long memory
- Testing for stationary or persistent coefficient randomness in predictive regressions
- Properties of Test Statistics for Nonparametric Cointegrating Regression Functions Based on Subsamples
- Central limit theory for peaks-over-threshold partial sums of long memory linear time series
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