Subsampling the mean of heavy-tailed dependent observations

  title={Subsampling the mean of heavy-tailed dependent observations},
  author={Piotr Kokoszka and Michael Wolf},
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. 
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