Subsampling the mean of heavy-tailed dependent observations

@inproceedings{Kokoszka2002SubsamplingTM,
title={Subsampling the mean of heavy-tailed dependent observations},
author={Piotr Kokoszka and Michael Wolf},
year={2002}
}

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. JEL CLASSIFICATION NOS: C10, C14, C32.