Block sampling under strong dependence

Ting Zhang, Hwai-Chung Ho, Martin Wendler and Wei Biao Wu

Stochastic Processes and their Applications, 2013, vol. 123, issue 6, 2323-2339

Abstract: The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall et al. (1998) [11] on functionals of Gaussian processes and Nordman and Lahiri (2005) [16] on linear processes. In particular, we allow nonlinear transforms of linear processes. Under suitable conditions on physical dependence measures, we prove the validity of the block sampling method. Its finite-sample performance is illustrated by a simulation study.

Keywords: Asymptotic normality; Covariance; Hermite processes; Linear processes; Long-range dependence; Rosenblatt distribution (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:6:p:2323-2339

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DOI: 10.1016/j.spa.2013.02.006

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