Recursive estimation of time-average variance constants through prewhitening

DOI10.1016/J.SPL.2016.02.014zbMATH Open1348.60037OpenAlexW2184405618MaRDI QIDQ277265FDOQ277265

Authors: 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

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zbMATH Keywords

consistencycentral limit theoremrecursive estimationmartingaleprewhiteningtime-average variance constants

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Cites Work

• Time series: theory and methods.
• Subsampling
• Resampling methods for dependent data
• Nonlinear system theory: Another look at dependence
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Bootstraps for time series
• To batch or not to batch?
• Optimal Mean-Squared-Error Batch Sizes
• Recursive estimation of time-average variance constants

Cited In (3)

• New recursive estimators of the time-average variance constant
• Recursive estimation of time-average variance constants
• High-order corrected estimator of asymptotic variance with optimal bandwidth

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