VARIANCE ESTIMATION FOR QUADRATIC STATISTICS

DOI10.1111/J.1467-9892.1993.TB00152.XzbMATH Open0779.62085OpenAlexW2054154478MaRDI QIDQ3141189FDOQ3141189

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

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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)

Cites Work

• The jackknife and the bootstrap for general stationary observations
• Title not available (Why is that?)
• The Stationary Bootstrap
• Fitting autoregressive models for prediction
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• On a Method of Calculation of Semi-Invariants
• CONSISTENT ESTIMATION OF THE FOURTH-ORDER CUMULANT SPECTRAL DENSITY

Cited In (8)

• Quasi-variances
• Confidence intervals based on robust regression
• On variance function estimation with quadratic forms
• Quaternion VAR Modelling and Estimation
• Title not available (Why is that?)
• Variance Laplacian: Quadratic Forms in Statistics
• Perturbed Periodogram Estimates of Variance
• Title not available (Why is that?)

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