Sum of the sample autocorrelation function
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Publication:3077691
DOI10.1515/ROSE.2009.008zbMath1224.62056MaRDI QIDQ3077691
Publication date: 22 February 2011
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
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Parameter estimation for Fisher–Snedecor diffusion, Parameter estimation for reciprocal gamma Ornstein–Uhlenbeck type processes
Cites Work
- On bootstrapping kernel spectral estimates
- Mathematical Considerations in the Estimation of Spectra
- CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
- Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
- LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION