Journal of Time Series Analysis

ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG‐MEMORY NOISE

Journal Article

Abstract. When estimating the unknown mean of a stationary time series, the best linear unbiased estimator is often a significantly better estimator than the ordinary least squares estimates X̄n. The relative efficiency of these two estimators is investigated for time series whose spectrum behaves like a power at the origin (e.g., fractional Gaussian noise and fractional ARIMA).

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