An Improved Formula for the Asymptotic Variance of Spectrum Estimates

DOI10.1214/AOMS/1177697189MaRDI QIDQ5582736zbMATHOpenAlexFDO

Authors Henry R. Neave

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

zbMATH Keywords

statistics

Cited in

(11)

• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• Markov chain Monte Carlo confidence intervals
• Fixed bandwidth inference for fractional cointegration
• On size and power of heteroskedasticity and autocorrelation robust tests
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
• A martingale decomposition for quadratic forms of Markov chains (with applications)
• Regression discontinuity and heteroskedasticity robust standard errors: evidence from a fixed-bandwidth approximation
• Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
• SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
• Fixed-\(b\) asymptotics for panel models with two-way clustering

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