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

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Year of publication:	2004
Authors:	Kokoszka, Piotr ; Wolf, Michael
Publisher:	[S.l.] : SSRN
Subject:	Statistische Methode \| Statistical method

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014072945