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Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to Quantiles, Optimization, and Estimation
The message from extensive numerical experimentation is that in settings where a functional CLT on the point estimator is in effect, using \emph{large overlapping batches} alongside OB-x critical values yields confidence intervals that are often of significantly higher quality than those obtained from more generic methods like subsampling or the bootstrap.
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