dc.contributor.author | McElroy, T. | en |
dc.contributor.author | Politis, Dimitris Nicolas | en |
dc.creator | McElroy, T. | en |
dc.creator | Politis, Dimitris Nicolas | en |
dc.date.accessioned | 2019-12-02T10:36:59Z | |
dc.date.available | 2019-12-02T10:36:59Z | |
dc.date.issued | 2004 | |
dc.identifier.issn | 1048-5252 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57288 | |
dc.description.abstract | 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). How misleading can sample ACF's of stable MA's be? (Very!). Annals of Applied Probability, 9(3), 797-817. Each of these statistics has a rate of convergence involving the "characteristic exponent" α, which is an unknown parameter of the model. Through the employment of self-normalization, this number α can be removed from the rate of convergence | en |
dc.description.abstract | the various limit distributions can then be approximated via subsampling. As a result, statistical inference for the mean can be conducted without knowledge (or explicit estimation) of α. New techniques, which are easily generalizable to a random field model, are presented to prove these results. | en |
dc.source | Journal of Nonparametric Statistics | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-2542550414&partnerID=40&md5=26f7f1f90fd630dadc1a9ca9ecef3954 | |
dc.subject | Subsampling | en |
dc.subject | Periodogram | en |
dc.subject | Heavy-tailed time series | en |
dc.subject | Random measure | en |
dc.subject | Stable moving average | en |
dc.title | Large sample theory for statistics of stable moving averages | en |
dc.type | info:eu-repo/semantics/article | |
dc.description.volume | 16 | |
dc.description.issue | 3-4 | |
dc.description.startingpage | 623 | |
dc.description.endingpage | 657 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.description.notes | <p>Cited By :2</p> | en |
dc.source.abbreviation | J.Nonparametric Stat. | en |