An Improved Formula for the Asymptotic Variance of Spectrum Estimates
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Publication:5582736
DOI10.1214/AOMS/1177697189zbMATH Open0188.49702OpenAlexW1979067774MaRDI QIDQ5582736FDOQ5582736
Publication date: 1970
Published in: Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177697189
Cited In (11)
- Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
- Fixed Bandwidth Inference for Fractional Cointegration
- Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
- Markov chain Monte Carlo confidence intervals
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- On size and power of heteroskedasticity and autocorrelation robust tests
- SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
- A martingale decomposition for quadratic forms of Markov chains (with applications)
- Fixed-\(b\) asymptotics for panel models with two-way clustering
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Regression discontinuity and heteroskedasticity robust standard errors: evidence from a fixed-bandwidth approximation
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