Almost sure convergence of the Bartlett estimator

DOI10.1007/S10998-005-0017-5MaRDI QIDQ2368601zbMATH OpenOpenAlexFDO

Authors István Berkes, Lajos Horváth, Piotr Kokoszka, Q. M. Shao

Publication date 27 June 2006

Published in Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10998-005-0017-5

zbMATH Keywords

cumulantsincrements of partial sumslong-range dependencevariance of the meanweak dependence

Mathematics Subject Classification ID

Strong limit theorems (60F15) Asymptotic properties of parametric estimators (62F12)

Review text

Suppose \( \{ Y_k \}\) is a fourth order stationary sequence with \(EY_i = 0\) and \( \gamma_j = \text{Cov}(Y_0,Y_j)\). Denote by \(s^2_n\) the Bartlett (= variance) estimator and put \(\sigma^2 = \sum_j \gamma_j\). The authors establish the almost sure consistency \(s^2_n \rightarrow \sigma^2\) in the both the weak dependence and long memory case. Their conditions involve fourth order cumulants and assumptions on the rate of increase of the sum in the \(s^2_n\) definition.

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