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Estimation of variance of partial sums of an associated sequence of random variables

Author

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  • Peligard, Magda
  • Suresh, Ram

Abstract

Let Xn, n [greater-or-equal, slanted] 1 be a stationary sequence of associated random variables satisfying E(X1) = [mu], E(X21) [sigma]2 as n --> [infinity]. In this paper, an estimator of [sigma]2 based on the subseries values using overlapping blocks is studied. A central limit theorem related to this estimator is obtained.

Suggested Citation

  • Peligard, Magda & Suresh, Ram, 1995. "Estimation of variance of partial sums of an associated sequence of random variables," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 307-319, April.
    • Handle: RePEc:eee:spapps:v:56:y:1995:i:2:p:307-319
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    Citations

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    Cited by:

    1. Zhang, Li-Xin, 2001. "The Weak Convergence for Functions of Negatively Associated Random Variables," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 272-298, August.
    2. Bulinski, Alexander & Suquet, Charles, 2001. "Normal approximation for quasi-associated random fields," Statistics & Probability Letters, Elsevier, vol. 54(2), pages 215-226, September.
    3. Christofides, Tasos C., 2000. "Maximal inequalities for demimartingales and a strong law of large numbers," Statistics & Probability Letters, Elsevier, vol. 50(4), pages 357-363, December.
    4. Dewan, Isha & Rao, B.L.S. Prakasa, 2005. "Wilcoxon-signed rank test for associated sequences," Statistics & Probability Letters, Elsevier, vol. 71(2), pages 131-142, February.
    5. Jiang, Xinxin & Hahn, Marjorie, 2008. "A self-normalized central limit theorem for [rho] -mixing stationary sequences," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1541-1547, September.
    6. Isha Dewan & B. Rao, 2003. "Mann-Whitney test for associated sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 111-119, March.
    7. Dehling, Herold & Fried, Roland & Sharipov, Olimjon Sh. & Vogel, Daniel & Wornowizki, Max, 2013. "Estimation of the variance of partial sums of dependent processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 141-147.

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