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Subsampling inference for the mean of heavy-tailed long-memory time series
(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. ...
Self-normalization for heavy-tailed time series with long memory
(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 ...
Large sample theory for statistics of stable moving averages
(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). ...
Stable marked point processes
(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 ...
Robust inference for the mean in the presence of serial correlation and heavy-tailed distributions
(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 ...
Distribution theory for the studentized mean for long, short, and negative memory time series
(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 ...
A fine-tuned estimator of a general convergence rate
(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. ...
Moment-based tail index estimation
(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 ...
Computer-intensive rate estimation, diverging statistics and scanning
(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, ...
Fixed-b asymptotics for the studentized mean from time series with short, long, or negative memory
(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 ...