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Testing for Differences Between Conditional Means in a Time Series Context

✍ Scribed by Ferreira, E; Stute, W


Book ID
127180624
Publisher
American Statistical Association
Year
2004
Tongue
English
Weight
185 KB
Volume
99
Category
Article
ISSN
0162-1459

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We present a family of tests to detect the presence of a transient mean in a simulation process. These tests compare variance estimators from different parts of a simulation run, and are based on the methods of batch means and standardized time series. Our tests can be viewed as natural generalizati