High‐order Corrected Estimator of Asymptotic Variance with Optimal Bandwidth

DOI10.1111/SJOS.12279zbMath1385.62010OpenAlexW2656638979MaRDI QIDQ4599639

Chun Yip Yau, Kin Wai Chan

Publication date: 4 January 2018

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12279

zbMATH Keywords

nonlinear time seriesdependence measuressubsamplingbias correctionlong-run varianceoptimal batch size selection

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

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