VARIANCE ESTIMATION FOR QUADRATIC STATISTICS

DOI10.1111/J.1467-9892.1993.TB00152.XMaRDI QIDQ3141189zbMATHOpenAlexFDO

Authors

Publication date 10 December 1993

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00152.x

zbMATH Keywords

consistent estimatesstationary time seriesspectral estimationvariance estimatesGaussian casefrequency domain bootstrap algorithmsfrequency domain smoothing procedurelinear functions of the periodogramnon-Gaussian structuresmall-sample efficiency properties

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• CONSISTENT ESTIMATION OF THE FOURTH-ORDER CUMULANT SPECTRAL DENSITY
• Fitting autoregressive models for prediction
• On a Method of Calculation of Semi-Invariants
• The Stationary Bootstrap
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

Cited in

(9)

• Confidence intervals based on robust regression
• Quasi-variances
• scientific article; zbMATH DE number 3869205 (Why is no real title available?)
• Variance Laplacian: Quadratic Forms in Statistics
• On variance function estimation with quadratic forms
• Perturbed Periodogram Estimates of Variance
• Quaternion VAR Modelling and Estimation
• Amendments and corrections: ``Using the periodogram to estimate period in nonparametric regression
• scientific article; zbMATH DE number 1524436 (Why is no real title available?)

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