Randomized pivots for means of short and long memory linear processes

Autor:	Csorgo, Miklos, Nasari, Masoud M, Ould-Haye, Mohamedou
Rok vydání:	2013
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	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. Comment: 35 pages, 12 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1309.4158 Zobrazit plný text záznamu View this record from Arxiv