Optimal difference-based variance estimators in time series: a general framework

DOI10.1214/21-AOS2154OpenAlexW4283077319MaRDI QIDQ2148979

Kin Wai Chan

Publication date: 24 June 2022

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

Full work available at URL: https://arxiv.org/abs/2112.15003

zbMATH Keywords

nonlinear time serieschange point detectiontrend inferenceoptimal bandwidth selectionvariate difference method

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

Mean stationarity test in time series: a signal variance-based approach, Robust multiscale estimation of time-average variance for time series segmentation

Uses Software

• nlmdl

Cites Work

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