On the sample variance of linear statistics derived from mixing sequences

DOI10.1016/0304-4149(93)90066-DMaRDI QIDQ1208962zbMATH OpenFDO

Authors Dimitris Politis, Joseph P. Romano

Publication date 16 May 1993

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

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)

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Cites work

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• scientific article; zbMATH DE number 4182620 (Why is no real title available?)
• A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
• Asymptotic normality for a general statistic from a stationary sequence
• Law of large numbers for the subseries talues of a statistic from a stationary sequence
• Moment bounds for stationary mixing sequences
• Moment inequalities for mixing sequences of random variables
• On the Convergence Rate in the Central Limit Theorem for Weakly Dependent Random Variables
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

Cited in

(20)

• Automatic Block-Length Selection for the Dependent Bootstrap
• Blockwise empirical entropy tests for time series regressions
• Kernel estimation of the density of a statistic
• Bootstrapping an inhomogeneous point process
• scientific article; zbMATH DE number 4162037 (Why is no real title available?)
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• A robust test for monotonicity in asset returns
• Estimation of the asymptotic variance of kernel density estimators for continuous time processes
• Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models
• A note on estimation of variance for \(\rho\)-mixing sequences
• Statistical inference for Lee-Carter mortality model and corresponding forecasts
• On estimation of limiting variance of partial sums of functions of associated random variables
• A nonstandard empirical likelihood for time series
• The Number of MCMC Draws Needed to Compute Bayesian Credible Bounds
• The moving block bootstrap to assess the accuracy of statistical estimates in Ising model simulations
• A Progressive Block Empirical Likelihood Method for Time Series
• On optimal spatial subsample size for variance estimation
• Estimation of the variance of partial sums of dependent processes
• Empirical likelihood confidence intervals for the mean of a long‐range dependent process
• Improved generalized method of moments estimators for weakly dependent observations

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