Consider the problem of testing k hypotheses simultaneously. In this paper, we discuss finite and large sample theory of stepdown methods that provide control of the familywise error rate (FWE). In order to improve upon the Bonferroni method or Holm's (1979) stepdown method, Westfall and Young...

This paper discusses inference in self exciting threshold autoregressive (SETAR) models. Of main interest is inference for the threshold parameter. It is well-known that the asymptotics of the corresponding estimator depend upon whether the SETAR model is continuous or not. In the continuous...

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...