Properties of batch means from stationary ARMA time series (Q1819875): Difference between revisions

The batch-means process arising from an arbitrary autoregressive moving- average (ARMA) process time series is derived. As side results, the variance and correlation structures of the batch-means process as functions of the batch size and parameters of the original process are obtained. Except for the first-order ARMA process, for which a closed- form expression is obtained, the parameters of the batch-means process are determined numerically.