当前位置: X-MOL 学术AStA. Adv. Stat. Anal. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
On variance estimation under shifts in the mean
AStA Advances in Statistical Analysis ( IF 1.4 ) Pub Date : 2020-04-01 , DOI: 10.1007/s10182-020-00366-5
Ieva Axt , Roland Fried

In many situations, it is crucial to estimate the variance properly. Ordinary variance estimators perform poorly in the presence of shifts in the mean. We investigate an approach based on non-overlapping blocks, which yields good results in change-point scenarios. We show the strong consistency and the asymptotic normality of such blocks-estimators of the variance under independence. Weak consistency is shown for short-range dependent strictly stationary data. We provide recommendations on the appropriate choice of the block size and compare this blocks-approach with difference-based estimators. If level shifts occur frequently and are rather large, the best results can be obtained by adaptive trimming of the blocks.

中文翻译:

关于均值漂移下的方差估计

在许多情况下,正确估计方差至关重要。在均值存在偏差的情况下,普通方差估计量的效果较差。我们研究了一种基于非重叠块的方法,该方法在更改点方案中产生了良好的结果。我们展示了这种独立性下方差的块估计的强一致性和渐近正态性。对于短距离相关的严格平稳数据显示了弱一致性。我们提供的块大小选用合适的建议,并比较差基于估计这个块的方法。如果电平移位频繁发生并且相当大,则可以通过对块进行自适应修整来获得最佳结果。
更新日期:2020-04-01
down
wechat
bug