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Confidence intervals for spectral mean and ratio statistics.
- Source :
-
Biometrika . Mar2009, Vol. 96 Issue 1, p107-107. 1p. - Publication Year :
- 2009
-
Abstract
- We propose a new method, to construct confidence intervals for spectral mean and related ratio statistics of a stationary process, that avoids direct estimation of their asymptotic variances. By introducing a bandwidth, a self-normalization procedure is adopted and the distribution of the new statistic is asymptotically nuisance-parameter free. The bandwidth is chosen using information criteria and a moving average sieve approximation. Through a simulation study, we demonstrate good finite sample performance of our method when the sample size is moderate, while a comparison with an empirical likelihood-based method for ratio statistics is made, confirming a wider applicability of our method. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00063444
- Volume :
- 96
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Biometrika
- Publication Type :
- Academic Journal
- Accession number :
- 36525910
- Full Text :
- https://doi.org/10.1093/biomet/asn067