Chen, Bor-Chung; Sargent, Robert G. - In: Management Science 36 (1990) 2, pp. 200-211
Asymptotic confidence interval estimators of the variance parameter \sigma <sup>2</sup> = lim<sub>n - \infty </sub> n Var((1/n) \sum <sup>n</sup><sub>i = 1</sub> X<sub>i</sub>) are described in this paper for observations X<sub>1</sub>, X<sub>2</sub>,...,X<sub>n</sub> from a strictly stationary phi-mixing stochastic process. They are based on asymptotic properties of the...
