Characterization of the partial autocorrelation function of nonstationary time series.

DOI10.1016/S0047-259X(03)00025-3zbMath1033.60046OpenAlexW2053590676MaRDI QIDQ1414600

Serge Dégerine, Sophie Lambert-Lacroix

Publication date: 4 December 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00025-3

zbMATH Keywords

discrete timenonstationary processespartial autocorrelationsecond order properties

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12)

Related Items (4)

AR and MA representation of partial autocorrelation functions, with applications ⋮ Periodically correlated sequences of less than full rank ⋮ The local partial autocorrelation function and some applications ⋮ Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes

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• Nonlinear modelling of periodic threshold autoregressions using Tsmars

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