Authors
Citation
Db. Percival, 3 CURIOUS PROPERTIES OF THE SAMPLE VARIANCE AND AUTOCOVARIANCE FOR STATIONARY-PROCESSES WITH UNKNOWN MEAN, The American statistician, 47(4), 1993, pp. 274-276
Citations number
5
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
ISSN journal
00031305
Volume
47
Issue
4
Year of publication
1993
Pages
274 - 276
Database
ISI
SICI code
0003-1305(1993)47:4<274:3CPOTS>2.0.ZU;2-X
Abstract
In most books on time series analysis, estimators of the variance and
autocovariance for a stationary process are discussed under the assump
tion that the process mean is known. Here we illustrate that, if the p
rocess mean is unknown and hence is estimated by the sample mean, thes
e estimators have some surprising properties.