On the moving block bootstrap under long range dependence
AbstractIt is shown that, under some conditions, the moving block bootstrap provides valid approximation to the distribution of the normalized sample mean Tn for a class of long-range dependent observations if and only if Tn is asymptotically normal.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 18 (1993)
Issue (Month): 5 (December)
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- Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
- Zhang, Ting & Ho, Hwai-Chung & Wendler, Martin & Wu, Wei Biao, 2013. "Block sampling under strong dependence," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2323-2339.
- Ting Zhang & Hwai-Chung Ho & Martin Wendler & Wei Biao Wu, 2013. "Block Sampling under Strong Dependence," Papers 1312.5807, arXiv.org.
- Franco, Glaura C. & Reisen, Valderio A., 2007. "Bootstrap approaches and confidence intervals for stationary and non-stationary long-range dependence processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 546-562.
- Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005.
"Empirical likelihood confidence intervals for the mean of a long-range dependent process,"
Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover
dp-327, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 576-599, 07.
- Andrea Pallini, 2000. "Resampling configurations of points through coding schemes," Statistical Methods and Applications, Springer, vol. 9(1), pages 159-182, January.
- Park, Daesu & Willemain, Thomas R., 1999. "The threshold bootstrap and threshold jackknife," Computational Statistics & Data Analysis, Elsevier, vol. 31(2), pages 187-202, August.
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