This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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578
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract - #306411 |
Title:
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Fixed-Bandwidth Asymptotics for the Studentized Mean for Long and Negative Memory Time Series
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Author(s):
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Tucker Sprague McElroy*+
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Companies:
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U.S. Census Bureau
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Address:
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4600 Silver Hill Road, Washington, D.C., DC, 20233,
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Keywords:
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Confidence Intervals ;
Critical Values ;
Dependence ;
Kernel ;
Tapers ;
Testing
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Abstract:
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This paper considers the problem of variance estimation for the sample mean in the context of Long Memory and Negative Memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics literature. Our results highlight the dependence of the asymptotic theory on the type of kernel (we include flat-top kernels) and the process' memory. This situation is demonstrated graphically for a particular choice of bandwidth.
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Authors who are presenting talks have a * after their name.
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