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.
Abstract
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.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Confidence intervals, Gaussian subordination, long-range dependence, sign statistic, subsampling |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 01 Feb 2011 09:31 |
| Last Modified: | 02 Aug 2023 16:51 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/1963 |
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