Estimation of the variance of partial sums of dependent processes
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DOI: 10.1016/j.spl.2012.08.012
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References listed on IDEAS
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- Sayar Karmakar & Marek Chudy & Wei Biao Wu, 2020. "Long-term prediction intervals with many covariates," Papers 2012.08223, arXiv.org, revised Sep 2021.
- Carina Gerstenberger, 2021. "Robust discrimination between long‐range dependence and a change in mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 34-62, January.
- M. Chudý & S. Karmakar & W. B. Wu, 2020. "Long-term prediction intervals of economic time series," Empirical Economics, Springer, vol. 58(1), pages 191-222, January.
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Keywords
Variance estimation; Weakly dependent processes; Subsampling techniques; Central limit theorem; Functionals of mixing processes;All these keywords.
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