A THRESHOLDING-BASED PREWHITENED LONG-RUN VARIANCE ESTIMATOR AND ITS DEPENDENCE-ORACLE PROPERTY
Statistical inference of time series data routinely relies on the estimation of long-run variances, defined as the sum of autocovariances of all orders. The current paper considers a new class of long-run variance estimators that first soaks up the dependence by a decision-based prewhitening filter,...
| Veröffentlicht in: | Statistica Sinica. in. - Institute of Statistical Science, Academia Sinica and International Chinese Statistical Association, 1991. - 28(2018), 1, Seite 319-338 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2018
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| Zugriff auf das übergeordnete Werk: | Statistica Sinica. in |
| Schlagworte: | Mathematics Biological sciences Applied sciences Physical sciences Information science |
| Online verfügbar |
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