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Block Sampling under Strong Dependence

Author

Listed:
  • Ting Zhang
  • Hwai-Chung Ho
  • Martin Wendler
  • Wei Biao Wu

Abstract

The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall, Jing and Lahiri (1998) on functionals of Gaussian processes and Nordman and Lahiri (2005) on linear processes. In particular, we allow nonlinear transforms of linear processes. Under suitable conditions on physical dependence measures, we prove the validity of the block sampling method. The problem of estimating the self-similar index is also studied.

Suggested Citation

  • Ting Zhang & Hwai-Chung Ho & Martin Wendler & Wei Biao Wu, 2013. "Block Sampling under Strong Dependence," Papers 1312.5807, arXiv.org.
  • Handle: RePEc:arx:papers:1312.5807
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    File URL: http://arxiv.org/pdf/1312.5807
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    References listed on IDEAS

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    1. Wu, Wei Biao, 2006. "Unit Root Testing For Functionals Of Linear Processes," Econometric Theory, Cambridge University Press, vol. 22(01), pages 1-14, February.
    2. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
    3. Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005. "Estimating Long Memory in Volatility," Econometrica, Econometric Society, vol. 73(4), pages 1283-1328, July.
    4. Chung, Ching-Fan, 2002. "Sample Means, Sample Autocovariances, And Linear Regression Of Stationary Multivariate Long Memory Processes," Econometric Theory, Cambridge University Press, vol. 18(01), pages 51-78, February.
    5. Nordman, Daniel J. & Lahiri, Soumendra N., 2005. "Validity Of The Sampling Window Method For Long-Range Dependent Linear Processes," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1087-1111, December.
    6. Lahiri, S. N., 1993. "On the moving block bootstrap under long range dependence," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 405-413, December.
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    Cited by:

    1. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
    2. Bai, Shuyang & Taqqu, Murad S. & Zhang, Ting, 2016. "A unified approach to self-normalized block sampling," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2465-2493.

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