VARIANCE ESTIMATION FOR QUADRATIC STATISTICS

DOI10.1111/j.1467-9892.1993.tb00152.xzbMath0779.62085OpenAlexW2054154478MaRDI QIDQ3141189

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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

spectral estimationconsistent estimatesstationary time seriesvariance estimatesGaussian casefrequency domain bootstrap algorithmsfrequency domain smoothing procedurelinear functions of the periodogramnon-Gaussian structuresmall-sample efficiency properties

Mathematics Subject Classification ID

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

Related Items (1)

Confidence intervals based on robust regression

Cites Work

• Unnamed Item
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• The jackknife and the bootstrap for general stationary observations
• Fitting autoregressive models for prediction
• CONSISTENT ESTIMATION OF THE FOURTH-ORDER CUMULANT SPECTRAL DENSITY
• On a Method of Calculation of Semi-Invariants
• The Stationary Bootstrap

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