On the sample variance of linear statistics derived from mixing sequences

DOI10.1016/0304-4149(93)90066-DzbMATH Open0765.62085MaRDI QIDQ1208962FDOQ1208962

Authors: Dimitris Politis, Joseph P. Romano 

Publication date: 16 May 1993

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

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zbMATH Keywords

mixing sequencessample varianceasymptotic order of the mean squared errorlinear statisticnonparametric variance estimatorstrictly stationary weakly dependent multivariate time series

Mathematics Subject Classification ID

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

Cites Work

• The jackknife and the bootstrap for general stationary observations
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• The use of subseries values for estimating the variance of 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
• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• Asymptotic normality for a general statistic from a stationary sequence
• Moment inequalities for mixing sequences of random variables
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• Law of large numbers for the subseries talues of a statistic from a stationary sequence

Cited In (20)

• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• The Number of MCMC Draws Needed to Compute Bayesian Credible Bounds
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• A note on estimation of variance for \(\rho\)-mixing sequences
• A robust test for monotonicity in asset returns
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Improved generalized method of moments estimators for weakly dependent observations
• Estimation of the variance of partial sums of dependent processes
• Blockwise empirical entropy tests for time series regressions
• A Progressive Block Empirical Likelihood Method for Time Series
• Title not available (Why is that?)
• Kernel estimation of the density of a statistic
• Automatic Block-Length Selection for the Dependent Bootstrap
• On estimation of limiting variance of partial sums of functions of associated random variables
• A nonstandard empirical likelihood for time series
• The moving block bootstrap to assess the accuracy of statistical estimates in Ising model simulations
• Bootstrapping an inhomogeneous point process
• Estimation of the asymptotic variance of kernel density estimators for continuous time processes
• On optimal spatial subsample size for variance estimation

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