Paper #600

Título:

Subsampling the mean of heavy-tailed dependent observations

Autores:

Piotr Kokoszka y Michael Wolf

Data:

Febrero 2002

Resumen:

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.

Palabras clave:

Heavy tails, linear time series, subsampling

Códigos JEL:

C10, C14, C32

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

Publicado en:

Journal of Econometrics, 127, 201-224, 2005

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