Subsampling the Mean of Heavy-tailed Dependent Observations

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Kokoszka, Piotr; Wolf, Michael. Subsampling the Mean of Heavy-tailed Dependent Observations. 2005
http://hdl.handle.net/10230/384

To cite or link this document: http://hdl.handle.net/10230/384

Title:	Subsampling the Mean of Heavy-tailed Dependent Observations
Author:	Kokoszka, Piotr; Wolf, Michael
Other authors:	Universitat Pompeu Fabra. Departament d'Economia i Empresa
Abstract:	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 selection and investigate its performance by means of a simulation study.
Document type:	Working paper
Date:	2005
Rights:	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)