๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On the sample variogram and the sample autocovariance for non-stationary time series

โœ Scribed by John Haslett

Book ID
108548035
Publisher
John Wiley and Sons
Year
1997
Weight
359 KB
Volume
46
Category
Article
ISSN
0039-0526

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๐Ÿ“œ SIMILAR VOLUMES

The correlation structure of the sample
The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution
โœ Marc G. Genton ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 375 KB

In the context of time series, the classical estimator of the autocovariance function can be written as a quadratic form of the observations. If data have an elliptically contoured distribution with constant mean, then the correlation between the sample autocovariance function at two different lags