The Efficiency of the Mean Moving Range
Hoel, Paul G.
Ann. Math. Statist., Tome 17 (1946) no. 4, p. 475-482 / Harvested from Project Euclid
In studying the variation of a variable subject to erratic trend effects, it is customary to employ as a measure of variation a statistic that eliminates most of such effects. It is shown in this paper that the statistic $w = \sum^{n - 1}_1 \|x_{i+1} - x_i\| \sqrt{\pi}/2(n - 1)$ is nearly as efficient as the statistic $\delta^2 = \sum^{n - 1}_1 (x_{i+1} - x_i)^2/(n - 1)$ that is customarily employed. The asymptotic variance of w is obtained by integration techniques; the proof of the asymptotic normality of w is based upon a theorem of S. Bernstein on the asymptotic distribution of sums of dependent variables. The method of proof is sufficiently general to prove the asymptotic normality of w, and of $\delta^2$, for $x$ having a distribution for which the third absolute moment exists.
Publié le : 1946-12-14
Classification: 
@article{1177730886,
     author = {Hoel, Paul G.},
     title = {The Efficiency of the Mean Moving Range},
     journal = {Ann. Math. Statist.},
     volume = {17},
     number = {4},
     year = {1946},
     pages = { 475-482},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177730886}
}
Hoel, Paul G. The Efficiency of the Mean Moving Range. Ann. Math. Statist., Tome 17 (1946) no. 4, pp.  475-482. http://gdmltest.u-ga.fr/item/1177730886/