Autor(en): | Axt, Ieva Fried, Roland |
Titel: | On variance estimation under shifts in the mean |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | Blockwise estimation Change-point Trimmed mean |
URI: | http://hdl.handle.net/2003/40121 http://dx.doi.org/10.17877/DE290R-21998 |
Erscheinungsdatum: | 2020-04-01 |
Rechte (Link): | https://creativecommons.org/licenses/by/4.0/ |
Enthalten in den Sammlungen: | Lehrstuhl Mathematische Statistik und naturwissenschaftliche Anwendungen |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
Axt-Fried2020_Article_OnVarianceEstimationUnderShift.pdf | 4.58 MB | Adobe PDF | Öffnen/Anzeigen |
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