Subsampling weakly dependent times series and application to extremes

preprint2010arXivOpen access

Abstract

This paper provides extensions of the work on subsampling by Bertail et al. (2004) for strongly mixing case to weakly dependent case by application of the results of Doukhan and Louhichi (1999). We investigate properties of smooth and rough subsampling estimators for distributions of converging and extreme statistics when the underlying time series is η or λ-weakly dependent.

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