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 |
URI: | http://hdl.handle.net/2003/34265 http://dx.doi.org/10.17877/DE290R-16342 |
Issue Date: | 2015 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3615_SFB823_Betken_Wendler.pdf | DNB | 420.74 kB | Adobe PDF | View/Open |
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