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A bootstrap approximation to the joint distribution of sum and maximum of a stationary sequence |
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| Authors: | G. Mathew W.P. McCormick |
| Affiliation: | aDepartment of Mathematics, Southwest Missouri State University, Springfield, MO 65804, USA;bDepartment of Statistics, University of Georgia, Athens, GA 30602, USA |
| 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. |
| Keywords: | Moving block bootstrap Stationary sequence Mixing coefficients |
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