Properties of batch means from stationary ARMA time series (Q1819875)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties of batch means from stationary ARMA time series |
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Properties of batch means from stationary ARMA time series (English)
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1987
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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.
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aggregated time series
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batch-means process
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autoregressive moving- average
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ARMA
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correlation structures
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closed-form expression
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