On the sample mean of locally stationary long-memory processes

dc.creatorPalma, Wilfredo
dc.date.accessioned2024-01-10T12:07:09Z
dc.date.accessioned2024-05-02T17:47:57Z
dc.date.available2024-01-10T12:07:09Z
dc.date.available2024-05-02T17:47:57Z
dc.date.created2024-01-10T12:07:09Z
dc.date.issued2010
dc.identifier10.1016/j.jspi.2010.04.041
dc.identifier0378-3758
dc.identifierhttps://doi.org/10.1016/j.jspi.2010.04.041
dc.identifierhttps://repositorio.uc.cl/handle/11534/76251
dc.identifierWOS:000281982700018
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/9269033
dc.description.abstractSome asymptotic statistical properties of the sample mean of a class locally stationary long-memory process are studied in this paper. Conditions for consistency are investigated and precise convergence rates of the variance of the sample mean are established for a class of time-varying long-memory parameter functions. A central limit theorem for the sample mean is also established. Furthermore, the calculation of the variance of the sample mean is illustrated through several numerical and simulation experiments. (C) 2010 Elsevier B.V. All rights reserved.
dc.languageen
dc.publisherELSEVIER SCIENCE BV
dc.rightsacceso restringido
dc.subjectSample mean
dc.subjectLong-range dependence
dc.subjectLocal stationarity
dc.subjectConsistency
dc.subjectCentral limit theorem
dc.subjectTIME-SERIES
dc.titleOn the sample mean of locally stationary long-memory processes
dc.typeartículo


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