A note on estimation of variance for [rho]-mixing sequences

Let {Xn, n [greater-or-equal, slanted] 1} be a stationary [rho]-mixing sequence of random variables with EX1 = , EX12+[delta] for some and Var Sn --> [infinity] as n --> [infinity]. This note presents a class of estimators of Var Sn, without assuming any mixing rate.

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Year of publication:	1996
Authors:	Peligrad, Magda ; Shao, Qi-Man
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 26.1996, 2, p. 141-145
Publisher:	Elsevier
Keywords:	Central limit theorem Estimation of variance Partial sums Dependent random variables

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005314070