New recursive estimators of the time-average variance constant
DOI10.1007/S11222-015-9548-7zbMATH Open1420.62365OpenAlexW2077633284MaRDI QIDQ294229FDOQ294229
Authors: Chun Yip Yau, Kin Wai Chan 
Publication date: 10 June 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-015-9548-7
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sequential estimationbatch meanslong-run variancephysical dependence measurepredictive dependence measure
Non-Markovian processes: estimation (62M09) Analysis of algorithms and problem complexity (68Q25) Stationary stochastic processes (60G10)
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Cited In (5)
- Weighted batch means estimators in Markov chain Monte Carlo
- Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
- Recursive estimation of time-average variance constants
- Optimal difference-based variance estimators in time series: a general framework
- Assessing the significance of peptide spectrum match scores
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