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 focus on 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. Copyright 2004 Blackwell Publishing Ltd.

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Year of publication:	2004
Authors:	Kokoszka, Piotr ; Wolf, Michael
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 2, p. 217-234
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260683