On optimal block resampling for Gaussian-subordinated long-range dependent processes

DOI10.1214/22-AOS2242MaRDI QIDQ2112834

Qihao Zhang, Daniel J. Nordman, Soumendra Nath Lahiri

Publication date: 12 January 2023

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.01713

zbMATH Keywords

block bootstrapsubsamplingvariance estimationlong-memoryblock length

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (1)

Detection of long range dependence in the time domain for (in)finite-variance time series

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