A Gini Autocovariance Function for Time Series Modelling
From MaRDI portal
Publication:3452743
DOI10.1111/jtsa.12130zbMath1327.62462OpenAlexW1748031843MaRDI 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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in survival analysis and censored data (62N02)
Related Items (14)
Quantile spectral processes: asymptotic analysis and inference ⋮ A Gini-based exact test for exponentiality against NBUE alternatives with censored observations ⋮ Vector autoregressive models: a Gini approach ⋮ A Gini-based unit root test ⋮ BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL ⋮ A Gini estimator for regression with autocorrelated errors ⋮ Gini covariance matrix and its affine equivariant version ⋮ A Gini-based time series analysis and test for reversibility ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Fourier Analysis of Serial Dependence Measures ⋮ Generalized Gini linear and quadratic discriminant analyses ⋮ Principal component analysis: a generalized Gini approach ⋮ Non-parametric inference for Gini covariance and its variants ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A note on self-weighted quantile estimation for infinite variance quantile autoregression models
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- More limit theory for the sample correlation function of moving averages
- Limit theory for the sample covariance and correlation functions of moving averages
- Time series: theory and methods.
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- The Gini methodology. A primer on a statistical methodology.
- Pitfalls of fitting autoregressive models for heavy-tailed time series
- A contribution to multivariate L-moments: L-comoment matrices
- Least absolute deviations estimation for ARCH and GARCH models
- Weighted quantile regression for AR model with infinite variance errors
- Pareto processes
- Gini Regression Analysis
- Order Statistics
- Asymptotic Mean and Variance of Gini Correlation for Bivariate Normal Samples
- A Measure Of Association Based On Gin's Mean Difference
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Robust Statistics
This page was built for publication: A Gini Autocovariance Function for Time Series Modelling
