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Subsampling the mean of heavy-tailed dependent observations

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Author Info
Piotr Kokoszka
Michael Wolf
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 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. Copyright 2004 Blackwell Publishing Ltd.

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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 2 (03)
Pages: 217-234
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Handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:217-234

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This page was last updated on 2009-12-19.

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