The generalised autocovariance function

DOI10.1016/j.jeconom.2014.07.004zbMath1332.62341OpenAlexW1564379542MaRDI QIDQ2346029

Tommaso Proietti, Alessandra Luati

Publication date: 29 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11585/324315

zbMATH Keywords

spectral estimationdiscriminant analysisstationary processesfeature matchingwhite noise tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (4)

Generalised Partial Autocorrelations and the Mutual Information Between Past and Future ⋮ Efficient nonparametric estimation of generalised autocovariances ⋮ Generalised cepstral models for the spectrum of vector time series ⋮ Portmanteau tests for linearity of stationary time series

Uses Software

• sapa
• bootstrap

Cites Work

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