Resumen de Subsampling weakly dependent time series and application to extremes

Paul Doukhan, Silika Prohl, Christian Y. Robert

• This paper provides extensions of the work on subsampling by Bertail et al. in J. Econ. 120:295–326 (2004) for strongly mixing case to weakly dependent case by application of the results of Doukhan and Louhichi in Stoch. Proc. Appl. 84:313–342 (1999). We investigate properties of smooth and rough subsampling estimators for sampling distributions of converging and extreme statistics when the underlying time series is η- or λ-weakly dependent.