The generalised autocovariance function
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Publication:2346029
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
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
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