Tail postcoloring combines nonparametric long-run variance estimation with parametric tail projection via a scaling factor and bandwidth, achieving parametric convergence when the model is correct and greater finite-sample robustness than prewhitening.
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Tail postcoloring in long-run variance estimation of time series
Tail postcoloring combines nonparametric long-run variance estimation with parametric tail projection via a scaling factor and bandwidth, achieving parametric convergence when the model is correct and greater finite-sample robustness than prewhitening.