The local partial autocorrelation function and some applications
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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.
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- Nuo Xu and Fukang Zhu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- G. Tunnicliffe-Wilson's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Maozai Tian and Tan Meng's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Yanbo Tang's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Alessandra Luati's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Hengxu Liu's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Kuldeep Kumar's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- R. Killick, J. Wilson, X. Chen, and R. Lund's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Rajendra Bhansali's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Cristian F. Jiménez-Varón and Marina I. Knight's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Andrej Srakar's contribution to the discussion of `new tools for network time series with an application to Covid-19 hospitalizations' by Nason et al..
- David Hand's contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Mirko Armillotta and Konstantinos Fokianos' contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Seconder of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
- Proposer of the vote of thanks to Nason et al. and contribution to the discussion of: ``New tools for network time series with an application to Covid-19 hospitalisations
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- Automatic locally stationary time series forecasting with application to predicting UK gross value added time series
- Detecting relevant deviations from the white noise assumption for non-stationary time series
- The local partial autocorrelation function and some applications
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