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Recursive estimation of time-average variance constants through prewhitening

Author

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  • Zheng, Wei
  • Jin, Yong
  • Zhang, Guoyi

Abstract

The time-average variance constant (TAVC) has been an important component in the study of time series. Many real problems request a fast and recursive way in estimating TAVC. In this paper we apply AR(1) prewhitening filter to the recursive algorithm by Wu (2009b), so that the memory complexity of order O(1) is maintained and the accuracy of the estimate is improved. This is justified by both theoretical results and simulation studies.

Suggested Citation

  • Zheng, Wei & Jin, Yong & Zhang, Guoyi, 2016. "Recursive estimation of time-average variance constants through prewhitening," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 30-37.
    • Handle: RePEc:eee:stapro:v:114:y:2016:i:c:p:30-37
    DOI: 10.1016/j.spl.2016.02.014
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