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Subsampling the mean of heavy-tailed dependent observations
Kokoszka, Piotr; Wolf, Michael
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We establish the validity of subsampling confidence intervals for themean of a dependent series with heavy-tailed marginal distributions.Using point process theory, we study both linear and nonlinear GARCH-liketime series models. We propose a data-dependent method for the optimalblock size selection and investigate its performance by means of asimulation study.
Statistics, Econometrics and Quantitative Methods
heavy tails
linear time series
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