A Gini Autocovariance Function for Time Series Modelling
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Publication:3452743
DOI10.1111/jtsa.12130zbMath1327.62462MaRDI QIDQ3452743
Marcel Carcea, Robert J. Serfling
Publication date: 13 November 2015
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12130
Pareto; heavy tails; autocovariance function; linear time series; Gini covariance; nonlinear autoregressive
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62N02: Estimation in survival analysis and censored data
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