Recursive estimation of time-average variance constants through prewhitening

Wei Zheng, Yong Jin and Guoyi Zhang

Statistics & Probability Letters, 2016, vol. 114, issue C, 30-37

Abstract: The time-average variance constant (TAVC) has been an important component in the study of time series. Many real problems request a fast and recursive way in estimating TAVC. In this paper we apply AR(1) prewhitening filter to the recursive algorithm by Wu (2009b), so that the memory complexity of order O(1) is maintained and the accuracy of the estimate is improved. This is justified by both theoretical results and simulation studies.

Keywords: Central limit theorem; Consistency; Martingale; Prewhitening; Recursive estimation (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715216000407
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:114:y:2016:i:c:p:30-37

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2016.02.014

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().