A Gini Autocovariance Function for Time Series Modelling

DOI10.1111/jtsa.12130zbMath1327.62462OpenAlexW1748031843MaRDI QIDQ3452743

Marcel Carcea, Robert J. Serfling

Publication date: 13 November 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12130

zbMATH Keywords

Paretoheavy tailsautocovariance functionlinear time seriesGini covariancenonlinear autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in survival analysis and censored data (62N02)

Related Items (14)

Quantile spectral processes: asymptotic analysis and inference ⋮ A Gini-based exact test for exponentiality against NBUE alternatives with censored observations ⋮ Vector autoregressive models: a Gini approach ⋮ A Gini-based unit root test ⋮ BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ A Gini estimator for regression with autocorrelated errors ⋮ Gini covariance matrix and its affine equivariant version ⋮ A Gini-based time series analysis and test for reversibility ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Fourier Analysis of Serial Dependence Measures ⋮ Generalized Gini linear and quadratic discriminant analyses ⋮ Principal component analysis: a generalized Gini approach ⋮ Non-parametric inference for Gini covariance and its variants ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions

Uses Software

• robustbase
• LMOMENTS

Cites Work

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• Pareto processes
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• A Measure Of Association Based On Gin's Mean Difference
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Robust Statistics

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