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={D. Nordman and S. 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… Expand
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