Asymptotically constant risk estimator of the time-average variance constant
时间平均方差常数的渐近恒定风险估计量
Summary Estimation of the time-average variance constant is important for statistical analyses involving dependent data. This problem is difficult as it relies on a bandwidth parameter. Specifically, the optimal choices of the bandwidths of all existing estimators depend on the estimand itself and another unknown parameter that is very difficult to estimate. Thus, optimal variance estimation is unachievable. In this paper, we introduce a concept of converging flat-top…