Recursive estimation of time-average variance constants

DOI10.1214/08-AAP587zbMath1171.62048arXiv0908.4540OpenAlexW3105279589MaRDI QIDQ835069

Wei-Biao Wu

Publication date: 27 August 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.4540

zbMATH Keywords

consistencyMarkov chainsMonte Carlolinear processcentral limit theoremmartingalespectral densitynonlinear time seriesrecursive estimation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Functional limit theorems; invariance principles (60F17)

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