Wei Biao Wu
U. Chicago
Recursive Estimation of Time-Average Variance Constants
For statistical inference of means of stationary processes, one
needs to estimate their time-average variance constants (TAVC)
or long-run variances. For a stationary process, its TAVC is the
sum of all its covariances and it is a multiple of the spectral
density at zero. The classical TAVC estimate which is based
on batched means does not allow recursive updates and the required
memory complexity is O(n). I will discuss a faster algorithm
which recursively computes the TAVC, thus having memory
complexity of order O(1) and the computational complexity
scales linearly in n. Under short-range dependence conditions,
we establish moment and almost sure convergence of the recursive
TAVC estimate. Convergence rates will also be discussed.
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On 11 Jan 2009, 18:41.