ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION

DOI10.1111/J.1467-9892.1988.TB00448.XMaRDI QIDQ3774776zbMATH OpenOpenAlexFDO

Authors Francesco Battaglia

Publication date 1988

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00448.x

zbMATH Keywords

autoregressive estimates of the inverse correlationsautoregressive moving average processesinverse covariancelinear interpolationorthogonalitytime series

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 3967741
• A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
• Asymptotic distribution of the autoregressive estimates of the inverse correlation function
• Inverse covariances of a multivariate time series
• LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES

Cites work

• A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
• An approximate inverse for the covariance matrix of moving average and autoregressive processes
• Consistent autoregressive spectral estimates
• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Inverse Autocorrelations
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• The Inverse Autocorrelations of a Time Series and Their Applications

Cited in

(17)

• Asymptotic distribution of the autoregressive estimates of the inverse correlation function
• Inverse covariances of a multivariate time series
• Estimating the inverse autocorrelation function from outlier contaminated data
• Bias correction for outlier estimation in time series
• Autoregressive time series modeling and the orthogonal relationship between autocorrelation and its inverse
• A Simulation Study of Autoregressive and Window Estimators of the Inverse Correlation Function
• scientific article; zbMATH DE number 3967741 (Why is no real title available?)
• scientific article; zbMATH DE number 946660 (Why is no real title available?)
• III.—The Invariant Theory of the Correlation
• LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES
• Portmanteau tests based on quadratic forms in the autocorrelations
• Genetic algorithms for the identification of additive and innovation outliers in time series
• Efficient nonparametric estimation of generalised autocovariances
• Inverse autocovariance estimates
• Statistical inference for functions of the covariance matrix in the stationary Gaussian time-orthogonal principal components model
• Control systems approach to the sample inverse covariance matrix
• A periodogram-based metric for time series classification

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