Logo
Munich Personal RePEc Archive

The Generalised Autocovariance Function

Tommaso, Proietti and Alessandra, Luati (2012): The Generalised Autocovariance Function.

[thumbnail of MPRA_paper_43711.pdf]
Preview
PDF
MPRA_paper_43711.pdf

Download (813kB) | Preview

Abstract

The generalised autocovariance function is defined for a stationary stochastic process as the inverse Fourier transform of the power transformation of the spectral density function. Depending on the value of the transformation parameter, this function nests the inverse and the traditional autocovariance functions. A frequency domain non-parametric estimator based on the power transformation of the pooled periodogram is considered and its asymptotic distribution is derived. The results are employed to construct classes of tests of the white noise hypothesis, for clustering and discrimination of stochastic processes and to introduce a novel feature matching estimator of the spectrum.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.