Estimation of the variance of partial sums of dependent processes

Herold Dehling, Roland Fried, Olimjon Sh. Sharipov +2

We study subsampling estimators for the limit variance \[ σ^2=Var(X_1)+2 \sum_{k=2}^\infty Cov(X_1,X_k) \] of partial sums of a stationary stochastic process $(X_k{)}_{k\ge 1}$. We…