Variance Estimation Based on Invariance Principles

DOI10.1080/02331889508802507zbMath0863.62073OpenAlexW2062235686MaRDI QIDQ2785878

Josef G. Steinebach

Publication date: 3 June 1997

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889508802507

zbMATH Keywords

convergence ratesinvariance principlesrenewal processchange point testextreme value asymptoticsincrements of Wiener processesconsistent variance estimationAMOC renewal model

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Detecting changes in a multivariate renewal process

Cites Work

• Invariance principles for renewal processes
• Invariance principles for changepoint problems
• A new class of strongly consistent variance estimators for steady-state simulations
• On the increments of Wiener and related processes
• On extreme value asymptotics for increments of renewal processes

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