In most books on time series analysis, estimators of the variance and autocovariance for a stationary process are discussed under the assumption that the process mean is known. Here we illustrate that ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 73, No. 5 (NOVEMBER 2011), pp. 711-728 (18 pages) The paper addresses a 'large p-small n' problem in a time series ...
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