Abstract
Let { X n , n ≥ 1} be a stationary sequence of ρ-mixing random variables satisfying EX n = μ, EX 2 n < ∞, Var Sn/ n → σ 2 > 0. This paper presents a class of estimators of σ and investigates their weak consistency as well as their asymptotic normality. Applications to the self-normalizing central limit theorem and confidence for the sample mean are also discussed.
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