Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
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Publication:2233573
Abstract: We propose a difference-based nonparametric methodology for the estimation and inference of the time-varying auto-covariance functions of a locally stationary time series when it is contaminated by a complex trend with both abrupt and smooth changes. Simultaneous confidence bands (SCB) with asymptotically correct coverage probabilities are constructed for the auto-covariance functions under complex trend. A simulation-assisted bootstrapping method is proposed for the practical construction of the SCB. Detailed simulation and a real data example round out our presentation.
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Cited in
(5)- Autocovariance estimation in regression with a discontinuous signal and \(m\)-dependent errors: a difference-based approach
- Inference for non-stationary time-series autoregression
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- Differencing as an approximate de-trending device
- A semiparametric covariance estimator immune to arbitrary signal drift
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