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| Author: | Chen, B. C. Sargent, R. G. |
| Title: | Confidence interval estimation for the variance parameter of stationary processes. |
| Journal: | Management Science
1990 : FEB, VOL. 36:2, p. 200-211 |
| Index terms: | STOCHASTIC PROCESSES ESTIMATION |
| Language: | eng |
| Abstract: | Asymptotic confidence interval estimators are described for observations X, X,,...Xn from a strictly stationary phi-mixing stochastic process. They are based on asymptotic properties of the standardized time series of observations from the process. The new point and interval estimators for the variance parameter are compared to the classical batch means estimator. The results show that the new estimators have asymptotic properties that clearly dominate the classical estimator. |
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