Subsampling the mean of heavy-tailed dependent observations

Piotr Kokoszka and Michael Wolf

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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 study both linear and nonlinear 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.

Keywords: Heavy tails; linear time series; subsampling (search for similar items in EconPapers)
JEL-codes: C10 C14 C32 (search for similar items in EconPapers)
Date: 2002-02
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-ias and nep-pke
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:600

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