Authors: Betken, Annika
Wendler, Martin
Title: Subsampling for general statistics under long range dependence
Language (ISO): en
Abstract: In the statistical inference for long range dependent time series, the shape of the limit distribution typically dependents on unknown param- eters. Therefore, we propose to use subsampling. We show the validity of subsampling for general statistics and long range dependent subordinated Gaussian processes, which satisfy mild regularity conditions. We apply our method to a self-normalized change-point test statistic and investigate the finite sample properties in a simulation study.
Subject Headings: subsampling
change point test
long range dependence
Gaussian processes
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_3615_SFB823_Betken_Wendler.pdfDNB420.74 kBAdobe PDFView/Open

This item is protected by original copyright

All resources in the repository are protected by copyright.