Properties of a block bootstrap under long-range dependence

DOI10.1007/s13171-011-0003-3zbMath1267.62062OpenAlexW2052270655MaRDI QIDQ354205

Young Min Kim, Daniel J. Nordman

Publication date: 18 July 2013

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-011-0003-3

zbMATH Keywords

confidence intervalsvariance estimationblock sizesample average

Mathematics Subject Classification ID

Related Items (14)

A note on stationary bootstrap variance estimator under long-range dependence ⋮ A bootstrap approximation for the distribution of the local Whittle estimator ⋮ Confidence intervals with higher accuracy for short and long-memory linear processes ⋮ On robust tail index estimation for linear long-memory processes ⋮ Frequency domain bootstrap for ratio statistics under long-range dependence ⋮ QUANTILOGRAMS UNDER STRONG DEPENDENCE ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ Block Bootstrap for the Empirical Process of Long‐Range Dependent Data ⋮ Convolved subsampling estimation with applications to block bootstrap ⋮ Bootstrap methods for dependent data: a review ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ On optimal block resampling for Gaussian-subordinated long-range dependent processes

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