This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 578
Type: Topic Contributed
Date/Time: Wednesday, August 4, 2010 : 2:00 PM to 3:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #306411
Title: Fixed-Bandwidth Asymptotics for the Studentized Mean for Long and Negative Memory Time Series
Author(s): Tucker Sprague McElroy*+
Companies: U.S. Census Bureau
Address: 4600 Silver Hill Road, Washington, D.C., DC, 20233,
Keywords: Confidence Intervals ; Critical Values ; Dependence ; Kernel ; Tapers ; Testing
Abstract:

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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