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Block sampling under strong dependence

Author

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  • Zhang, Ting
  • Ho, Hwai-Chung
  • Wendler, Martin
  • Wu, Wei Biao

Abstract

The paper considers the block sampling method for long-range dependent processes. Our theory generalizes earlier ones by Hall et al. (1998) [11] on functionals of Gaussian processes and Nordman and Lahiri (2005) [16] on linear processes. In particular, we allow nonlinear transforms of linear processes. Under suitable conditions on physical dependence measures, we prove the validity of the block sampling method. Its finite-sample performance is illustrated by a simulation study.

Suggested Citation

  • Zhang, Ting & Ho, Hwai-Chung & Wendler, Martin & Wu, Wei Biao, 2013. "Block sampling under strong dependence," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2323-2339.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:6:p:2323-2339
    DOI: 10.1016/j.spa.2013.02.006
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    References listed on IDEAS

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    1. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
    2. Lahiri, S. N., 1993. "On the moving block bootstrap under long range dependence," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 405-413, December.
    3. Wu, Wei Biao, 2006. "Unit Root Testing For Functionals Of Linear Processes," Econometric Theory, Cambridge University Press, vol. 22(1), pages 1-14, February.
    4. Nordman, Daniel J. & Lahiri, Soumendra N., 2005. "Validity Of The Sampling Window Method For Long-Range Dependent Linear Processes," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1087-1111, December.
    5. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
    2. Bai, Shuyang & Taqqu, Murad S. & Zhang, Ting, 2016. "A unified approach to self-normalized block sampling," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2465-2493.

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