A bootstrap approximation to the joint distribution of sum and maximum of a stationary sequence
Abstract
This paper establishes the asymptotic validity for the moving block bootstrap as an approximation to the joint distribution of the sum and the maximum of a stationary sequence. An application is made to statistical inference for a positive time series where an extreme value statistic and sample mean provide the maximum likelihood estimates for the model parameters. A simulation study illustrates small sample size behavior of the bootstrap approximation.
Department(s)
Mathematics
Document Type
Article
DOI
https://doi.org/10.1016/s0378-3758(98)00002-0
Keywords
moving block bootstrap, stationary sequence, mixing coefficients
Publication Date
1998
Recommended Citation
Mathew, G., and W. P. McCormick. "A bootstrap approximation to the joint distribution of sum and maximum of a stationary sequence." Journal of statistical planning and inference 70, no. 2 (1998): 287-299.
Journal Title
Journal of statistical planning and inference
