Sum of the sample autocorrelation function

DOI10.1515/ROSE.2009.008MaRDI QIDQ3077691zbMATH OpenFDO

Authors Hossein Hassani

Publication date 22 February 2011

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/ROSE.2009.008

zbMATH Keywords

spectral densityperiodogramstationary processes

Mathematics Subject Classification ID

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

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Cites work

• CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
• Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
• LOCALLY ADAPTIVE LAG-WINDOW SPECTRAL ESTIMATION
• Mathematical Considerations in the Estimation of Spectra
• On bootstrapping kernel spectral estimates

Cited in

(6)

• Sum of squared ACF and the Ljung-Box statistics
• Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
• Vessels arrival process and its application to the SHIP/M/ queue
• Selecting optimal lag order in Ljung-Box test
• Jensen-autocorrelation function for weakly stationary processes and applications
• Parameter estimation for Fisher-Snedecor diffusion

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