On the sample variance of linear statistics derived from mixing sequences

DOI10.1016/0304-4149(93)90066-DzbMath0765.62085MaRDI QIDQ1208962

Dimitris N. Politis, Joseph P. Romano

Publication date: 16 May 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

sample variancemixing sequenceslinear statisticasymptotic order of the mean squared errornonparametric variance estimatorstrictly stationary weakly dependent multivariate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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Cites Work

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• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Asymptotic normality for a general statistic from a stationary sequence
• A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
• The jackknife and the bootstrap for general stationary observations
• Moment inequalities for mixing sequences of random variables
• Law of large numbers for the subseries talues of a statistic from a stationary sequence
• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• Moment bounds for stationary mixing sequences

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