Autoregressive and window estimates of the inverse correlation function

DOI10.1093/BIOMET/67.3.551MaRDI QIDQ3889972zbMATH OpenOpenAlexFDO

Authors R. J. Bhansali

Publication date 1980

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/67.3.551

zbMATH Keywords

Akaike information criterionmoving average modelautoregressive spectral estimateinverse covariance functioninverse correlation functionwindow spectral estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(16)

• Probabilistic properties of parametric dual and inverse time series models generated by ARMA models
• Efficient nonparametric estimation of generalised autocovariances
• Partial and inverse autocorrelations in portmanteau-type tests for time series
• A periodogram-based metric for time series classification
• Estimation of the memory parameter by fitting fractionally differenced autoregressive models
• Estimating the inverse autocorrelation function from outlier contaminated data
• An efficient method for the estimation of multivariate moving averge models
• An empirical likelihood approach for symmetric \(\alpha\)-stable processes
• A characterization of the inverse autocorrelation function
• Approximation for the inverse of Toeplitz matrices with applications to stationary processes
• The inverse partial correlation function of a time series and its applications
• Estimation of quantized linear errors-in-variables models
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• Autoregressive spatial spectral estimates
• Checks of model adequacy for univariate time series models and their application to econometric relationships
• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION

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