Subsampling for General Statistics under Long Range Dependence
نویسندگان
چکیده
منابع مشابه
Measuring Long - Range Dependence under Changing
Recent measurements of various types of network traac have shown evidence consistent with long-range dependence and self-similarity. However, an alternative explanation for these measurements is non-stationarity in the data. Standard estimators of LRD parameters such as the Hurst parameter H assume stationarity and are susceptible to bias when this assumption does not hold. Hence LRD may be ind...
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We discuss the optimal design problem in regression models with long range dependence error structure. Asymptotic optimal designs are derived and it is demonstrated that these designs depend only indirectly on the correlation function. Several examples are investigated to illustrate the theory. Finally the optimal designs are compared with asymptotic optimal designs, which were derived by Bicke...
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Recent measurements of various types of network traffic have shown evidence consistent with long-range dependence and self-similarity. However, an alternative explanation for these measurements is non-stationarity. Standard estimators of LRD parameters such as the Hurst parameter H assume stationarity and are susceptible to bias when this assumption does not hold. Hence LRD may be indicated by ...
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The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.
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In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2018
ISSN: 1017-0405
DOI: 10.5705/ss.202015.0435