Confidence Interval Estimation for the Variance Parameter of Stationary Processes

DOI10.1287/MNSC.36.2.200MaRDI QIDQ3468493zbMATH OpenOpenAlexFDO

Authors Bor-Chung Chen, Robert G. Sargent

Publication date 1990

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.36.2.200

zbMATH Keywords

Asymptotic confidence interval estimators of the variance parameterasymptotic properties of the standardized time series of observationsbatch means estimatorestimators for the ratio of two variance parametersstrictly stationary phi-mixing stochastic processvariance estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09)

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Cited in

(6)

• On best asymptotic confidence intervals for parameters of stochastic processes
• Confidence interval for correlation estimator between latent processes
• Approximate confidence sets for a stationary \(AR(p)\) process
• Properties of Standardized Time Series Weighted Area Variance Estimators
• Comparison of pivotals for confidence bounds and intervals for the mean of a stationary time series
• Overlapping batch confidence intervals on statistical functionals constructed from time series: application to quantiles, optimization, and estimation

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