ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG‐MEMORY NOISE

Alexander Samarov and Murad S. Taqqu

Journal of Time Series Analysis, 1988, vol. 9, issue 2, 191-200

Abstract: Abstract. When estimating the unknown mean of a stationary time series, the best linear unbiased estimator is often a significantly better estimator than the ordinary least squares estimates X̄n. The relative efficiency of these two estimators is investigated for time series whose spectrum behaves like a power at the origin (e.g., fractional Gaussian noise and fractional ARIMA).

Date: 1988
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