On inference based on the one-sample sign statistic for long-range dependent data
Psaradakis, Zacharias (2010) On inference based on the one-sample sign statistic for long-range dependent data. Computational Statistics 25 (2), pp. 329-340. ISSN 0943-4062.
This paper considers the problem of statistical inference based on the one-sample sign statistic for strictly stationary random processes which exhibit long-range dependence. Under Gaussian subordination, the limiting distribution of the sign statistic may be non-Gaussian and depends on unknown parameters. We examine how asymptotically valid inference may be carried out using subsampling. The small-sample performance of the method is also investigated by means of Monte Carlo experiments.
|Keyword(s) / Subject(s):||Confidence intervals, Gaussian subordination, long-range dependence, sign statistic, subsampling|
|School:||Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Date Deposited:||01 Feb 2011 09:31|
|Last Modified:||11 Oct 2016 15:27|
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