Subsampling the Mean of Heavy-tailed Dependent Observations
Utah State University - Department of Mathematics & Statistics
University of Zurich - Department of Economics; University of Zurich - Department of Economics
Journal of Time Series Analysis, Vol. 25, No. 2, pp. 217-234, March 2004
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.
Number of Pages in PDF File: 18
Keywords: Estimation of the mean, heavy tails, GARCH, subsamplingAccepted Paper Series
Date posted: April 24, 2004
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