Estimation of the variance of partial sums of dependent processes

Abstract: We study subsampling estimators for the limit variance of partial sums of a stationary stochastic process . We establish -consistency of a non-overlapping block resampling method. Our results apply to processes that can be represented as functionals of strongly mixing processes. Motivated by recent applications to rank tests, we also study estimators for the series , where is the distribution function of . Simulations illustrate the usefulness of the proposed estimators and of a mean squared error optimal rule for the choice of the block length. [Copyright &y& Elsevier]