Search Results - subject:"Autocovariance function"

Moments structure of l 1-stochastic volatility models

Neto, David; Sardy, Sylvain - 2009

Persistent link: https://www.econbiz.de/10003926961

Circular block bootstrap for coefficients of autocovariance function of almost periodically correlated time series

Dudek, A. - In: Metrika 78 (2015) 3, pp. 313-335

<Para ID="Par1">In the paper the consistency of the circular block bootstrap for the coefficients of the autocovariance … function of almost periodically correlated time series is proved. The pointwise and the simultaneous bootstrap equal …

Persistent link: https://www.econbiz.de/10011240995

Long Memory and Long Run Variation

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008

May 2008 A commonly used defining property of long memory time series is the power law decay of the autocovariance … function. Some alternative methods of deriving this property are considered working from the alternate definition in terms of a …

Persistent link: https://www.econbiz.de/10005593519

Moments Structure of l1-Stochastic Volatility Models

Neto, David; Sardy, Sylvain - Institut d'Economie et Econométrie, Université de Genève - 2008

here the moments and autocovariance function of such l1-based stochastic volatility models. …

Persistent link: https://www.econbiz.de/10010616292

Long Run Covariance Matrices for Fractionally Integrated Processes

Phillips, Peter C.B.; Kim, Chang Sik - Cowles Foundation for Research in Economics, Yale University - 2007

An asymptotic expansion is given for the autocovariance matrix of a vector of stationary long-memory processes with memory parameters d satisfying 0 < d < 1/2. The theory is then applied to deliver formulae for the long run covariance matrices of multivariate time series with long memory.

Persistent link: https://www.econbiz.de/10005463993

Robust estimation for the covariance matrix of multivariate time series based on normal mixtures

Kim, Byungsoo; Lee, Sangyeol - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 125-140

family. As a special case, we consider the robust estimator for the autocovariance function of univariate stationary time …

Persistent link: https://www.econbiz.de/10011056612

The effect of the regularity of the error process on the performance of kernel regression estimators

Benhenni, Karim; Rachdi, Mustapha; Su, Yingcai - In: Metrika 76 (2013) 6, pp. 765-781

)$$</EquationSource> </InlineEquation>th mixed partial derivatives of the autocovariance function along the diagonal of the unit square …

Persistent link: https://www.econbiz.de/10010994970

Moments structure of ℓ <Subscript>1</Subscript>-stochastic volatility models

Neto, David; Sardy, Sylvain - In: Quality & Quantity: International Journal of Methodology 46 (2012) 6, pp. 1947-1952

and autocovariance function of such ℓ <Subscript>1</Subscript>-based stochastic volatility models. Copyright Springer …

Persistent link: https://www.econbiz.de/10010993065

Dependent SiZer: Goodness-of-Fit Tests for Time Series Models

Park, Cheolwoo; Marron, J. S.; Rondonotti, Vitaliana - In: Journal of Applied Statistics 31 (2004) 8, pp. 999-1017

tested by adjusting the statistical inference using an assumed autocovariance function. This new approach uses a SiZer type …

Persistent link: https://www.econbiz.de/10005639670