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Autocovariance Estimation via Difference-Based Methods
Last update: 29 June 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.2.8
Provides methods for (auto)covariance/correlation function estimation in change point regression with stationary errors circumventing the pre-estimation of the underlying signal of the observations. Generic, first-order, (m+1)-gapped, difference-based autocovariance function estimator is based on M. Levine and I. Tecuapetla-Gómez (2023) <doi:10.48550/arXiv.1905.04578>. Bias-reducing, second-order, (m+1)-gapped, difference-based estimator is based on I. Tecuapetla-Gómez and A. Munk (2017) <doi:10.1111/sjos.12256>. Robust autocovariance estimator for change point regression with autoregressive errors is based on S. Chakar et al. (2017) <doi:10.3150/15-BEJ782>. It also includes a general projection-based method for covariance matrix estimation.
- Autocovariance Estimation in Regression with a Discontinuous Signal and m‐Dependent Errors: A Difference‐Based Approach
- A robust approach for estimating change-points in the mean of an $\operatorname{AR}(1)$ process
- ACF estimation via difference schemes for a semiparametric model with m-dependent errors
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