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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• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• Moment bounds for stationary mixing sequences