Recursive estimation of time-average variance constants through prewhitening

DOI10.1016/J.SPL.2016.02.014MaRDI QIDQ277265zbMATH OpenOpenAlexFDO

Authors Wei Zheng, Yong Jin, Guoyi Zhang

Publication date 4 May 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.02.014

zbMATH Keywords

consistencycentral limit theoremrecursive estimationmartingaleprewhiteningtime-average variance constants

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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Cites work

• Bootstraps for time series
• Fixed-Width Output Analysis for Markov Chain Monte Carlo
• Nonlinear system theory: Another look at dependence
• Optimal Mean-Squared-Error Batch Sizes
• Recursive estimation of time-average variance constants
• Resampling methods for dependent data
• Subsampling
• Time series: theory and methods.
• To batch or not to batch?

Cited in

(3)

• New recursive estimators of the time-average variance constant
• Recursive estimation of time-average variance constants
• High-order corrected estimator of asymptotic variance with optimal bandwidth

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