Subsampling the Mean of Heavy-Tailed Dependent Observations

We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy-tailed marginal distributions. Using point process theory, we study both linear and nonlinear GARCH-like time series models. We propose a data-dependent method for the optimal block size selection and investigate its performance by means of a simulation study

Year of publication:	2002
Authors:	Kokoszka, Piotr ; Wolf, Michael
Publisher:	[S.l.] : SSRN
Subject:	Statistische Methode \| Statistical method
Description of contents:	Abstract [papers.ssrn.com]

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