VARIANCE ESTIMATION FOR QUADRATIC STATISTICS

B. Smith and C. Field

Journal of Time Series Analysis, 1993, vol. 14, issue 4, 381-395

Abstract: Abstract. A frequency domain smoothing procedure is presented which provides variance estimates for linear functions of the periodogram. The method provides consistent estimates of the true asymptotic variance, has good small‐sample efficiency properties in the Gaussian case and reflects non‐Gaussian structure. The relationship of the estimates to frequency domain bootstrap algorithms is discussed.

Date: 1993
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