Subsampling weakly dependent time series and application to extremes

• Autores: Paul Doukhan, Silika Prohl, Christian Y. Robert
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 20, Nº. 3, 2011, págs. 447-479
• Idioma: inglés
• DOI: 10.1007/s11749-011-0269-8
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• Resumen

  • This paper provides extensions of the work on subsampling by Bertail et al. in J. Econ. 120:295–326 (2004) for strongly mixing case to weakly dependent case by application of the results of Doukhan and Louhichi in Stoch. Proc. Appl. 84:313–342 (1999). We investigate properties of smooth and rough subsampling estimators for sampling distributions of converging and extreme statistics when the underlying time series is η- or λ-weakly dependent.