Some results on the subsampling for φ-mixing periodically strictly stationary time series

• Autorzy: Synowiecki R.
• Języki publikacji: EN

Abstrakty

EN

The article deals with the special subclass of φ-mixing periodically correlated (PC) time series and the estimation of autocovariance through Fourier coefficients. The aim is to investigate whether the subsampling of the autocovariance estimator is consistent. It is shown that the consistency holds for frequencies λ=0 and λ=π. Theoretical reasoning is supplemented with a simulation study.

Słowa kluczowe

EN

periodically correlated time series; subsampling; consistency; φ-mixing property

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2007
• Tom: Vol. 27, Fasc. 2
• Strony: 247--260
• Opis fizyczny: Bibliogr. 10 poz., tab., wykr.

Twórcy

autor

Synowiecki R.

• Faculty of Applied Mathematics, AGH University of Science and Technology, Faculty of Applied Mathematics, al. Mickiewicza 30, 30-059 Kraków, Poland

Bibliografia

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