Subsampling the mean of heavy‐tailed dependent observations

Piotr Kokoszka and Michael Wolf

Journal of Time Series Analysis, 2004, vol. 25, issue 2, 217-234

Abstract: Abstract. We establish the validity of subsampling confidence intervals for the mean of a dependent series with heavy‐tailed marginal distributions. Using point process theory, we focus on GARCH‐like time series models. We propose a data‐dependent method for the optimal block size selection and investigate its performance by means of a simulation study.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:25:y:2004:i:2:p:217-234

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