NONPARAMETRIC AUTOCOVARIANCE FUNCTION ESTIMATION

DOI10.1111/j.1467-842X.1997.tb00694.xzbMath0899.62053OpenAlexW3121759337MaRDI QIDQ4391380

Rob Hyndman, Matthew P. Wand

Publication date: 2 June 1998

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1997.tb00694.x

zbMATH Keywords

bandwidthkernel smoothingnonparametric regressioncorrelated errorsnon-stationary time seriesautocovariance functionslocal polynomial

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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The local partial autocorrelation function and some applications, Optimal stochastic discrete time-frequency analysis in the ambiguity and time-lag domain, Some statistical properties of Hadamard products of random matrices., Statistical properties of the Hadamard product of random vectors., Smoothing non-Gaussian time series with autoregressive structure.