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

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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 nonparametric 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.
Item Type:  MPRA Paper 

Original Title:  The Generalised Autocovariance Function 
Language:  English 
Keywords:  Stationary Gaussian processes. Nonparametric spectral estimation. White noise tests. Feature matching. Discriminant Analysis 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  43711 
Depositing User:  Tommaso Proietti 
Date Deposited:  11. Jan 2013 14:52 
Last Modified:  22. Aug 2015 04:41 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/43711 