Recursive estimation of time-average variance constants through prewhitening

详细信息    查看全文

• 作者：Wei Zheng^a ; ^{weizheng@iupui.edu" class="auth_mail" title="E-mail the corresponding author} ; Yong Jin^b ; ^{yong.jin@warrington.ufl.edu" class="auth_mail" title="E-mail the corresponding author} ; Guoyi Zhang^c ; ^{gzhang123@gmail.com" class="auth_mail" title="E-mail the corresponding author}
• 关键词：primary ; 60F05 ; secondary ; 60F17
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：July 2016
• 年：2016
• 卷：114
• 期：Complete
• 页码：30-37
• 全文大小：668 K

文摘

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)$AR\left(1\right)$ prewhitening filter to the recursive algorithm by Wu (2009b), so that the memory complexity of order O(1)$O\left(1\right)$ is maintained and the accuracy of the estimate is improved. This is justified by both theoretical results and simulation studies.