Timeline for Question About Approximating the Variance of the Sample Mean for an AR(1) Process
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Aug 28 at 22:12 | vote | accept | Adrian Keister | ||
| Aug 28 at 22:12 | comment | added | Adrian Keister | Yep, I think you're right. On page 80-1, the author mentions this approximation, and in context, the $\sigma^2/N$ for independent $X$'s is compared to this expression. So it has to be $\sigma_X^2.$ | |
| Aug 28 at 22:05 | comment | added | Adrian Keister | Oh, interesting! The book's problem statement is exactly how I have it: there's no subscript on the $\sigma^2,$ nor any clarification as to which variance the $\sigma^2$ is referring. Your explanation would certainly fit what's going on, here. Many thanks! | |
| Aug 28 at 21:46 | history | answered | Thomas Lumley | CC BY-SA 4.0 |