ESTIMATION OF THE VARIANCE OF PARTIAL-SUMS FOR RHO-MIXING RANDOM-VARIABLES

被引：26

作者：

PELIGRAD, M

SHAO, QM

机构：

[1] NATL UNIV SINGAPORE,SINGAPORE 0511,SINGAPORE

[2] HANGZHOU UNIV,HANGZHOU,PEOPLES R CHINA

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1995年 / 52卷 / 01期

关键词：

WEAK DEPENDENT RANDOM VARIABLES; VARIANCE OF PARTIAL SUMS; ESTIMATORS; CENTRAL LIMIT THEOREM;

D O I：

10.1006/jmva.1995.1008

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let {X(n), n greater than or equal to 1} be a stationary sequence of p-mixing random variables satisfying EX(n) = mu, EX(n)(2) < infinity, Var Sn/n --> sigma(2) > O. This paper presents a class of estimators of cr and investigates their weak consistency as well as their asymptotic normality. Applications to the self-normalizing central limit theorem and confidence for the sample mean are also discussed. (C) 1995 Academic Press, Inc.

引用

页码：140 / 157

页数：18

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