Recursive estimation of time-average variance constants through prewhitening
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Publication:277265
DOI10.1016/j.spl.2016.02.014zbMath1348.60037OpenAlexW2184405618MaRDI QIDQ277265
Guoyi Zhang, Yong Jin, Wei Zheng
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
consistencycentral limit theoremmartingalerecursive estimationprewhiteningtime-average variance constants
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Cites Work
- Recursive estimation of time-average variance constants
- Time series: theory and methods.
- Subsampling
- Resampling methods for dependent data
- Bootstraps for time series
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- To batch or not to batch?
- Optimal Mean-Squared-Error Batch Sizes
- Nonlinear system theory: Another look at dependence
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