首页   按字顺浏览 期刊浏览 卷期浏览 Variance Estimation Based on Invariance Principles
Variance Estimation Based on Invariance Principles

 

作者: Josef Steinebach,  

 

期刊: Statistics  （Taylor Available online 1995）
卷期: Volume 27, issue 1-2  

页码: 15-25

 

ISSN:0233-1888

 

年代: 1995

 

DOI:10.1080/02331889508802507

 

出版商: Gordon & Breach Science Publishers

 

关键词: AMS 1991 subject classification;Primary 62G05;secondary 62G20;60F17;consistent variance estimation;invariance principle;Wiener process;renewal process;convergence rate;extreme value asymptotics;change point problem;increments of Wiener processes

 

数据来源: Taylor

 

摘要:

Consistent variance estimators for certain stochastic processes are suggested using the fact that (weak or strong) invariance principles may be available. Convergence rates are also derived, the latter being essentially determined by the approximation rates in the corresponding invariance principles. As an application, a change point test in a simple AMOC renewal model is briefly discussed, where variance estimators possessing good enough convergence rates are required.

 

点击下载:  PDF (578KB)



返 回