Subsampling weakly dependent time series and application to extremes
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References listed on IDEAS
- Paul Doukhan & Gilles Teyssière & Pablo Winant, 2005. "A Larch Vector Valued Process," Working Papers 2005-49, Center for Research in Economics and Statistics.
- Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert, 2004. "Subsampling the distribution of diverging statistics with applications to finance," Journal of Econometrics, Elsevier, vol. 120(2), pages 295-326, June.
- Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
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- Agnieszka Jach & Tucker S. McElroy & Dimitris N. Politis, 2016. "Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 713-720, September.
More about this item
KeywordsSubsampling; Weakly dependent time series; Max-stable distributions; 62G30; 63G32; 62G99;
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