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Extrapolation of subsampling distribution estimators: The i.i.d. and strong mixing cases
(2001)
Politis & Romano (1994) proposed a general subsampling methodology for the construction of large-sample confidence regions for an arbitrary parameter under minimal conditions. Nevertheless, the subsampling distribution ...
Testing Time Series Linearity. Traditional and Bootstrap Methods
(2012)
We review the notion of time series linearity and describe recent advances in linearity and Gaussianity testing via data resampling methodologies. Many advances have been made since the first published tests of linearity ...
Subsampling confidence intervals for parameters of atmospheric time series: Block size choice and calibration
(2005)
Problems of practical implementation of the computer intensive subsampling methodology are addressed by Monte Carlo simulations of a situation typical for atmospheric time series. The motivating data were collected under ...
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. ...
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 ...
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 ...
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, ...
Tapered block bootstrap
(2001)
We introduce and study tapered block bootstrap methodology that yields an improvement over the well-known block bootstrap for time series of Künsch (1989). The asymptotic validity and the favourable bias properties of the ...