Randomized pivots for means of short and long memory linear processes
Statistics Theory
2014-05-14 v2 Statistics Theory
Abstract
In this paper we introduce randomized pivots for the means of short and long memory linear processes. We show that, under the same conditions, these pivots converge in distribution to the same limit as that of their classical non-randomized counterparts. We also present numerical results that indicate that these randomized pivots significantly outperform their classical counterparts and as a result they lead to a more accurate inference about the population mean.
Cite
@article{arxiv.1309.4158,
title = {Randomized pivots for means of short and long memory linear processes},
author = {Miklos Csorgo and Masoud M Nasari and Mohamedou Ould-Haye},
journal= {arXiv preprint arXiv:1309.4158},
year = {2014}
}
Comments
35 pages, 12 figures