Properties of batch means from stationary ARMA time series (Q1819875)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Properties of batch means from stationary ARMA time series |
scientific article; zbMATH DE number 3994832
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties of batch means from stationary ARMA time series |
scientific article; zbMATH DE number 3994832 |
Statements
Properties of batch means from stationary ARMA time series (English)
0 references
1987
0 references
The batch-means process arising from an arbitrary autoregressive moving- average (ARMA) process time series is derived. As side results, the variance and correlation structures of the batch-means process as functions of the batch size and parameters of the original process are obtained. Except for the first-order ARMA process, for which a closed- form expression is obtained, the parameters of the batch-means process are determined numerically.
0 references
aggregated time series
0 references
batch-means process
0 references
autoregressive moving- average
0 references
ARMA
0 references
correlation structures
0 references
closed-form expression
0 references
