Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

DOI10.1016/j.spl.2008.01.041zbMath1152.62409OpenAlexW2158099149MaRDI QIDQ945823

M. B. Vermaat, Ronald J. M. M. Does, Frank H. van der Meulen

Publication date: 17 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/asymptotic-behavior-of-the-variance-of-the-ewma-statistic-for-autoregressive-processes(0c4fb897-6433-4a93-8c18-73bb5f804aec).html

zbMATH Keywords

autoregressive processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)

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