Recursive estimation of time-average variance constants through prewhitening

Wei Zheng; Yong Jin; Guoyi Zhang

doi:10.1016/j.spl.2016.02.014

Recursive estimation of time-average variance constants through prewhitening

Wei Zheng
, Yong Jin
, Guoyi Zhang

Research output: Journal article publication › Journal article › Academic research › peer-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 language	English
Pages (from-to)	30-37
Number of pages	8
Journal	Statistics and Probability Letters
Volume	114
DOIs	https://doi.org/10.1016/j.spl.2016.02.014
Publication status	Published - 1 Jul 2016
Externally published	Yes

Keywords

Central limit theorem
Consistency
Martingale
Prewhitening
Recursive estimation

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

More information

10.1016/j.spl.2016.02.014

Cite this

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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.",

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AU - Zheng, Wei

AU - Jin, Yong

AU - Zhang, Guoyi

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N2 - 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.

AB - 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.

KW - Central limit theorem

KW - Consistency

KW - Martingale

KW - Prewhitening

KW - Recursive estimation

UR - https://www.scopus.com/pages/publications/84961938259

U2 - 10.1016/j.spl.2016.02.014

DO - 10.1016/j.spl.2016.02.014

M3 - Journal article

AN - SCOPUS:84961938259

SN - 0167-7152

VL - 114

SP - 30

EP - 37

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Recursive estimation of time-average variance constants through prewhitening

Abstract

Keywords

ASJC Scopus subject areas

More information

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