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Statistica Sinica 11(2001), 1105-1124


Dimitris N. Politis, Joseph P. Romano and Michael Wolf

University of California, Stanford University and Universidad Carlos III

Abstract: A general approach to constructing confidence intervals by subsampling was presented in Politis and Romano (1994). The crux of the method is recomputing a statistic over subsamples of the data, and these recomputed values are used to build up an estimated sampling distribution. The method works under extremely weak conditions, it applies to independent, identically distributed (i.i.d.) observations as well as to dependent data situations, such as time series (possibly nonstationary), random fields, and marked point processes. In this article, we present some theorems showing: a new construction for confidence intervals that removes a previous condition, a general theorem showing the validity of subsampling for data-dependent choices of the block size, and a general theorem for the construction of hypothesis tests (not necessarily derived from a confidence interval construction). The arguments apply to both the i.i.d. setting and the dependent data case.

Key words and phrases: Confidence intervals, data-dependent block size choice, hypothesis tests, large sample theory, resampling.

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