Recursive estimation of time-average variance constants through prewhitening

Wei Zheng, Yong Jin, Guoyi Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

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.

Original languageEnglish
Pages (from-to)30-37
Number of pages8
JournalStatistics and Probability Letters
Volume114
DOIs
Publication statusPublished - 1 Jul 2016
Externally publishedYes

Keywords

  • Central limit theorem
  • Consistency
  • Martingale
  • Prewhitening
  • Recursive estimation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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