Subsampling for general statistics under long range dependence
Loading...
Date
2015
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
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.
Description
Table of contents
Keywords
subsampling, change point test, long range dependence, Gaussian processes