Standardized Time Series Lp-Norm Variance Estimators for Simulations

This paper studies a class of estimators for the variance parameter of a stationary stochastic process. The estimators are based on L p norms of standardized time series, and they generalize previously studied estimators due to Schruben. We show that the new estimators have some desirable properties: they are asymptotically unbiased and have low asymptotic variance. We also illustrate empirically the performance of the L p -norm estimators on various stochastic processes.

• 저널Management Science · 44(2) · 234–245
• 토픽Financial Risk and Volatility Modeling · Finance
• DOI10.1287/mnsc.44.2.234
• 저자Gamze Tokol, David Goldsman, Daniel H. Ockerman, James J. Swain