A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function

DOI10.2307/2347293zbMath0534.62066OpenAlexW2795885600MaRDI QIDQ3317948

R. J. Bhansali

Publication date: 1983

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347293

zbMATH Keywords

time seriesmoving average processspectral density functionautoregressive processorder determinationfinite sample behaviourinverse covariance functionwindow estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (8)

Introducing model uncertainty by moving blocks bootstrap ⋮ Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations ⋮ ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION ⋮ LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES ⋮ Estimating the inverse autocorrelation function from outlier contaminated data ⋮ A periodogram-based metric for time series classification ⋮ Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach ⋮ Forecasting time series with sieve bootstrap

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