Subsampling Weakly Dependent Times Series and Application to Extremes
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چکیده
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Comments on: Subsampling weakly dependent time series and application to extremes
Professors Doukhan, Prohl, and Robert are to be congratulated for their work on extending the validity of the subsampling method to a much wider class of processes compared to the existing literature that typically requires the processes to be strongly mixing (cf. Politis et al. 1999). As described in Sects. 1 and 2, many common time series models, including the ARMA models, often fail to satis...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1686748