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
View on Cambridge Press
dnordman.public.iastate.edu
26 Citations
Highly Influential Citations
5
Background Citations
10
Methods Citations
15

26 Citations

Citation Type

Citation Type

Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series
On the validity of resampling methods under long memory
On nonparametric likelihood methods for weakly and strongly dependent time series
Properties of a block bootstrap under long-range dependence
Fixed-b Subsampling and Block Bootstrap: Improved Condence Sets Based on P-value Calibration
A frequency domain bootstrap for Whittle estimation under long-range dependence
Fixed b subsampling and the block bootstrap: improved confidence sets based on p‐value calibration
Empirical Likelihood Confidence Intervals for the Mean of a Long-Range Dependent Process
Convolved subsampling estimation with applications to block bootstrap
Probabilistic and statistical problems related to long-range dependence
...
1
2
3
...

References

SHOWING 1-10 OF 51 REFERENCES
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series
Large Sample Confidence Regions Based on Subsamples under Minimal Assumptions
Empirical Likelihood Confidence Intervals for the Mean of a Long-Range Dependent Process
The Jackknife and the Bootstrap for General Stationary Observations
Simulation of Stationary Gaussian Processes in [0, 1] d
On blocking rules for the bootstrap with dependent data
The Long Range Dependence Paradigm for Macroeconomics and Finance
A test of location for data with slowly decaying serial correlations
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
...
1
2
3
4
5
...