Using randomization to improve performance of a variance estimator of strongly dependent errors

Artur Bryk. "Using randomization to improve performance of a variance estimator of strongly dependent errors." Applicationes Mathematicae 39.3 (2012): 273-282. <http://eudml.org/doc/279990>.

@article{ArturBryk2012,
abstract = {We consider a fixed-design regression model with long-range dependent errors which form a moving average or Gaussian process. We introduce an artificial randomization of grid points at which observations are taken in order to diminish the impact of strong dependence. We estimate the variance of the errors using the Rice estimator. The estimator is shown to exhibit weak (i.e. in probability) consistency. Simulation results confirm this property for moderate and large sample sizes when randomization is employed.},
author = {Artur Bryk},
journal = {Applicationes Mathematicae},
keywords = {Rice estimator; long-range dependence; randomization; linear process; fixed-design regression},
language = {eng},
number = {3},
pages = {273-282},
title = {Using randomization to improve performance of a variance estimator of strongly dependent errors},
url = {http://eudml.org/doc/279990},
volume = {39},
year = {2012},
}

TY - JOUR
AU - Artur Bryk
TI - Using randomization to improve performance of a variance estimator of strongly dependent errors
JO - Applicationes Mathematicae
PY - 2012
VL - 39
IS - 3
SP - 273
EP - 282
AB - We consider a fixed-design regression model with long-range dependent errors which form a moving average or Gaussian process. We introduce an artificial randomization of grid points at which observations are taken in order to diminish the impact of strong dependence. We estimate the variance of the errors using the Rice estimator. The estimator is shown to exhibit weak (i.e. in probability) consistency. Simulation results confirm this property for moderate and large sample sizes when randomization is employed.
LA - eng
KW - Rice estimator; long-range dependence; randomization; linear process; fixed-design regression
UR - http://eudml.org/doc/279990
ER -