Block Sampling under Strong Dependence
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.
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- Dittmann, Ingolf & Granger, Clive W. J., 2000.
"Properties of nonlinear transformations of fractionally integrated processes,"
2000,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- 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.
- Dittmann, Ingolf & Granger, Clive W.J., 2000. "Properties of Nonlinear Transformations of Fractionally Integrated Processes," University of California at San Diego, Economics Working Paper Series qt0kk9x0mc, Department of Economics, UC San Diego.
- Lahiri, S. N., 1993. "On the moving block bootstrap under long range dependence," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 405-413, December.
- 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.
- Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005.
"Estimating Long Memory in Volatility,"
Econometric Society, vol. 73(4), pages 1283-1328, 07.
- 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.
- Wu, Wei Biao, 2006. "Unit Root Testing For Functionals Of Linear Processes," Econometric Theory, Cambridge University Press, vol. 22(01), pages 1-14, February.
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