NONPARAMETRIC AUTOCOVARIANCE FUNCTION ESTIMATION

DOI10.1111/J.1467-842X.1997.TB00694.XMaRDI QIDQ4391380zbMATH OpenOpenAlexFDO

Authors Rob J. Hyndman, M. 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

autocovariance functionsbandwidthcorrelated errorskernel smoothinglocal polynomialnon-stationary time seriesnonparametric regression

Mathematics Subject Classification ID

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

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Cited in

(14)

• Time-varying parameter auto-regressive models for autocovariance nonstationary time series
• Smoothing non-Gaussian time series with autoregressive structure.
• Properties of nonparametric estimators of autocovariance for stationary random fields
• Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
• The generalised autocovariance function
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
• Nonparametric autocovariance estimation from censored time series by Gaussian imputation
• Autocorrelation analysis of non-stationary time series of solar irradiance
• A semiparametric covariance estimator immune to arbitrary signal drift
• Autocovariance estimation in regression with a discontinuous signal and m-dependent errors: a difference-based approach
• Some statistical properties of Hadamard products of random matrices.
• Statistical properties of the Hadamard product of random vectors.
• The local partial autocorrelation function and some applications
• Optimal stochastic discrete time-frequency analysis in the ambiguity and time-lag domain

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