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

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