New recursive estimators of the time-average variance constant

DOI10.1007/s11222-015-9548-7zbMath1420.62365OpenAlexW2077633284MaRDI QIDQ294229

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

zbMATH Keywords

long-run variancesequential estimationbatch meansphysical dependence measurepredictive dependence measure

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)

Related Items (3)

Weighted batch means estimators in Markov chain Monte Carlo ⋮ Optimal difference-based variance estimators in time series: a general framework ⋮ Assessing the significance of peptide spectrum match scores

Uses Software

• ASAP3

Cites Work

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