Recursive estimation of time-average variance constants through prewhitening

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• 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 class="mathmlsrc">class="formulatext stixSupport mathImg" data-mathURL="/science?_ob=MathURL&_method=retrieve&_eid=1-s2.0-S0167715216000407&_mathId=si10.gif&_user=111111111&_pii=S0167715216000407&_rdoc=1&_issn=01677152&md5=8870f52d6402dddcc95b5145870df964" title="Click to view the MathML source">AR(1)class="mathContainer hidden">class="mathCode">croll">ARw>(1)w> prewhitening filter to the recursive algorithm by Wu (2009b), so that the memory complexity of order class="mathmlsrc">class="formulatext stixSupport mathImg" data-mathURL="/science?_ob=MathURL&_method=retrieve&_eid=1-s2.0-S0167715216000407&_mathId=si11.gif&_user=111111111&_pii=S0167715216000407&_rdoc=1&_issn=01677152&md5=658e5b8d41e5797612f6ec269a421b08" title="Click to view the MathML source">O(1)class="mathContainer hidden">class="mathCode">croll">Ow>(1)w> is maintained and the accuracy of the estimate is improved. This is justified by both theoretical results and simulation studies.