the-length-each-instrument-wants

The reversal is a property of the instrument

The margin between the two block windows under each of four rules, on three readings of the same resampled means, signed so that a positive bar is the tapered window winning. On the implied long-run variance the taper wins at the best available block length and at one estimated from the sample and loses at a length written into a protocol and at the rule of thumb — which is the reversal the earlier field's whole argument turns on, at 1.48 and 4.52 points. On the 95% point a test actually reads, the taper wins at all four, by 6.13 to 7.08 points. On the coverage the interval actually delivers, the taper wins at all four again, by 2.50 to 5.75 percentage points. Two of the four rules change sign between the first reading and the other two, and the two that change are exactly the two the earlier field's recommendation is about.

The block length read on a quantileslider: draws in the sweep, 4 positionswide2 views

What else it draws

The same object, drawn to answer the other questions the essays put to it.

The block length that would actually have been best on each draw, for each of the two error readings, averaged over 400 samples of 120 rows. For the rectangular window the implied long-run variance wants 18.92 and the 95% point wants 16.05; for the tapered window, 21.82 against 17.74. The quantile wants a shorter block under both windows — a ratio of 0.848 and 0.813. That is the mechanism the whole field turns on: a rule for choosing a block length is a way of guessing a target, and the two instruments do not have the same target. A rule tuned to one is systematically long for the other, and the two windows do not pay the same price for being long.

Where it is used

5 essays draw this figure, each at the numbers its own argument is about, so the same picture answers 5 different questions.

All 80 figures

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