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dc.contributor.authorAxt, Ieva-
dc.contributor.authorFried, Roland-
dc.date.accessioned2021-03-30T07:14:07Z-
dc.date.available2021-03-30T07:14:07Z-
dc.date.issued2020-04-01-
dc.identifier.urihttp://hdl.handle.net/2003/40121-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-21998-
dc.description.abstractIn 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.en
dc.language.isoende
dc.relation.ispartofseriesAStA Adv Stat Anal;104-
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/-
dc.subjectBlockwise estimationen
dc.subjectChange-pointen
dc.subjectTrimmed meanen
dc.subject.ddc310-
dc.titleOn variance estimation under shifts in the meanen
dc.typeTextde
dc.type.publicationtypearticlede
dcterms.accessRightsopen access-
eldorado.secondarypublicationtruede
eldorado.secondarypublication.primaryidentifierhttps://doi.org/10.1007/s10182-020-00366-5de
eldorado.secondarypublication.primarycitationAxt, I., Fried, R. On variance estimation under shifts in the mean. AStA Adv Stat Anal 104, 417–457 (2020).de
Appears in Collections:Lehrstuhl Mathematische Statistik und naturwissenschaftliche Anwendungen

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