On smoothness measurement for weakly stationary processes

An ordinal scale based on the concentration of the spectral distribution at low frequencies is proposed to compare the smoothness of weakly stationary processes. Some characterizations, basic properties and applications of this partial ordering are discussed. It is proved that both smoothing operations and usual smoothness measures agree with the new order.

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Year of publication:	1999
Authors:	Navarro, H.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 44.1999, 2, p. 147-154
Publisher:	Elsevier
Keywords:	Smoothness Spectrum Autocorrelation Linear filtering Power dominance Partial ordering

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223689