18 citations · 18 across the 2 of their papers we have counts for
2 papers
math.ST2020
An Asymptotic Test for Constancy of the Variance under Short-Range Dependence
Sara Kristin Schmidt, Max Wornowizki, Roland Fried +1
We present a novel approach to test for heteroscedasticity of a non-stationary time series that is based on Gini's mean difference of logarithmic local sample variances. In order t…
math.ST2015★ 18 cited
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 . We…