Block Sampling under Strong Dependence

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

Papers from arXiv.org

Abstract: The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall, Jing and Lahiri (1998) on functionals of Gaussian processes and Nordman and Lahiri (2005) 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. The problem of estimating the self-similar index is also studied.

Date: 2013-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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