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Non‐parametric Variance Estimation from Ergodic Samples
Author(s) -
Arfi Mounir
Publication year - 1998
Publication title -
scandinavian journal of statistics
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00099
Subject(s) - mathematics , ergodic theory , statistics , variance (accounting) , parametric statistics , kernel (algebra) , variance components , stationary ergodic process , estimation , mathematical analysis , combinatorics , invariant measure , accounting , management , economics , business
It is shown that a kernel estimate for the variance function is uniformly strongly consistent, under the ergodic condition
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