Agnieszka Jach

Hanken School of Economics

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Scholarly Papers (2)

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1.

Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 96-111, 2012
Number of pages: 16 Posted: 28 Dec 2011
Agnieszka Jach, Tucker McElroy and Dimitris N. Politis
Hanken School of Economics, U.S. Census Bureau - Center for Statistical Research and Methodology and University of California, San Diego (UCSD) - Department of Mathematics
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Infinite variance, self‐normalization, subsampling, weak dependence, adaptive block size

2.

Subsampling Inference for the Autocovariances and Autocorrelations of Long‐Memory Heavy‐Tailed Linear Time Series

Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 935-953, 2012
Number of pages: 19 Posted: 17 Oct 2012
Tucker McElroy and Agnieszka Jach
U.S. Census Bureau - Center for Statistical Research and Methodology and Hanken School of Economics
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Linear time series, parameter‐dependent convergence rates, self‐normalization, subsampling confidence intervals