Subsampling for general statistics under long range dependence

dc.contributor.author	Betken, Annika
dc.contributor.author	Wendler, Martin
dc.date.accessioned	2015-10-07T13:25:00Z
dc.date.available	2015-10-07T13:25:00Z
dc.date.issued	2015
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/34265
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-16342
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;36/2015	en
dc.subject	subsampling	en
dc.subject	change point test	en
dc.subject	long range dependence	en
dc.subject	Gaussian processes	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Subsampling for general statistics under long range dependence	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de

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