Confidence Interval Estimation for the Variance Parameter of Stationary Processes

DOI10.1287/MNSC.36.2.200zbMath0693.62070OpenAlexW2064437477MaRDI QIDQ3468493

Bor-Chung Chen, Robert G. Sargent

Publication date: 1990

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.36.2.200

zbMATH Keywords

variance estimationbatch means estimatorAsymptotic confidence interval estimators of the variance parameterasymptotic properties of the standardized time series of observationsestimators for the ratio of two variance parametersstrictly stationary phi-mixing stochastic process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09)

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