VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES
@article{Nordman2005VALIDITYOT, title={VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES}, author={Daniel J. Nordman and Soumendra Nath Lahiri}, journal={Econometric Theory}, year={2005}, volume={21}, pages={1087 - 1111} }
The sampling window method of Hall, Jing, and Lahiri (1998, Statistica Sinica 8, 1189–1204) is known to consistently estimate the distribution of the sample mean for a class of long-range dependent processes, generated by transformations of Gaussian time series. This paper shows that the same nonparametric subsampling method is also valid for an entirely different category of long-range dependent series that are linear with possibly non-Gaussian innovations. For these strongly dependent time…
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