Recursive estimation of time-average variance constants through prewhitening
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Publication:277265
DOI10.1016/j.spl.2016.02.014zbMath1348.60037MaRDI QIDQ277265
Wei Zheng, Yong Jin, Guoyi Zhang
Publication date: 4 May 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.02.014
consistency; central limit theorem; martingale; recursive estimation; prewhitening; time-average variance constants
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