Lugsail lag windows for estimating time-average covariance matrices

DOI10.1093/BIOMET/ASAB049OpenAlexW3207360720MaRDI QIDQ5102501

James M. Flegal, Dootika Vats

Publication date: 8 September 2022

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.04541

zbMATH Keywords

Markov chain Monte Carlobatch means estimatorlag windowspectral variance

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Mean stationarity test in time series: a signal variance-based approach

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