The local partial autocorrelation function and some applications

DOI10.1214/20-EJS1748zbMATH Open1448.62133arXiv2004.12716OpenAlexW3086922814MaRDI QIDQ87410FDOQ87410

Rebecca Killick, Marina Knight, G. P. Nason, Marina I. Knight, Rebecca Killick, Idris A. Eckley, Guy Nason, Idris A. Eckley

Publication date: 1 January 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: The classical regular and partial autocorrelation functions are powerful tools for stationary time series modelling and analysis. However, it is increasingly recognized that many time series are not stationary and the use of classical global autocorrelations can give misleading answers. This article introduces two estimators of the local partial autocorrelation function and establishes their asymptotic properties. The article then illustrates the use of these new estimators on both simulated and real time series. The examples clearly demonstrate the strong practical benefits of local estimators for time series that exhibit nonstationarities.

Full work available at URL: https://arxiv.org/abs/2004.12716

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zbMATH Keywords

waveletsHaar cross-correlation waveletintegrated local wavelet periodogramlocally stationary time seriespractical estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

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Cited In (5)

• Local projections, autocorrelation, and efficiency
• Wavelet testing for a replicate-effect within an ordered multiple-trial experiment
• lpacf
• The local partial autocorrelation function and some applications
• Multiscale spectral modelling for nonstationary time series within an ordered multiple-trial experiment

Uses Software

• wavethresh
• locits
• fractal
• BootWPTOS
• SiZer

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