Browsing Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics by Author "McElroy, T."

Now showing items 1-10 of 10

    • Article  

      Computer-intensive rate estimation, diverging statistics and scanning 

      McElroy, T.; Politis, Dimitris Nicolas (2007)
      A general rate estimation method is proposed that is based on studying the in-sample evolution of appropriately chosen diverging/converging statistics. The proposed rate estimators are based on simple least squares arguments, ...
    • Article  

      Distribution theory for the studentized mean for long, short, and negative memory time series 

      McElroy, T.; Politis, Dimitris Nicolas (2013)
      We consider the problem of estimating the variance of the partial sums of a stationary time series that has either long memory, short memory, negative/intermediate memory, or is the first-difference of such a process. The ...
    • Article  

      A fine-tuned estimator of a general convergence rate 

      McElroy, T.; Politis, Dimitris Nicolas (2008)
      Summary A general rate estimation method based on the in-sample evolution of appropriately chosen diverging/converging statistics has recently been proposed by D.N. Politis [C. R. Acad. Sci. Paris, Ser. I, vol. 335, pp. ...
    • Article  

      Fixed-b asymptotics for the studentized mean from time series with short, long, or negative memory 

      McElroy, T.; Politis, Dimitris Nicolas (2012)
      This paper considers the problem of variance estimation for the sample mean in the context of long memory and negative memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics ...
    • Article  

      Large sample theory for statistics of stable moving averages 

      McElroy, T.; Politis, Dimitris Nicolas (2004)
      We study the limit behavior of the partial sums, sample variance, and periodogram of the stable moving average process x(t)= ∫ ψ(t + x)double struck M sign (dx) explored in Resnick, S., Samorodnitsky, G., and Xue, F. (1999). ...
    • Article  

      Moment-based tail index estimation 

      McElroy, T.; Politis, Dimitris Nicolas (2007)
      A general method of tail index estimation for heavy-tailed time series, based on examining the growth rate of the logged sample second moment of the data was proposed and studied in Meerschaert and Scheffler (1998. A simple ...
    • Article  

      Robust inference for the mean in the presence of serial correlation and heavy-tailed distributions 

      McElroy, T.; Politis, Dimitris Nicolas (2002)
      The problem of statistical inference for the mean of a time series with possibly heavy tails is considered, We first show that the self-normalized sample mean has a well-defined asymptotic distribution. Subsampling theory ...
    • Article  

      Self-normalization for heavy-tailed time series with long memory 

      McElroy, T.; Politis, Dimitris Nicolas (2007)
      Many time series data sets have heavy tails and/or long memory, both of which are well-known to greatly influence the rate of convergence of the sample mean. Typically time series analysts consider models with either heavy ...
    • Article  

      Stable marked point processes 

      McElroy, T.; Politis, Dimitris Nicolas (2007)
      In many contexts such as queuing theory, spatial statistics, geostatistics and meteorology, data are observed at irregular spatial positions. One model of this situation involves considering the observation points as ...
    • Article  

      Subsampling inference for the mean of heavy-tailed long-memory time series 

      Jach, A.; McElroy, T.; Politis, Dimitris Nicolas (2012)
      In this article, we revisit a time series model introduced by MCElroy and Politis (2007a) and generalize it in several ways to encompass a wider class of stationary, nonlinear, heavy-tailed time series with long memory. ...