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 func- tions. A frequency domain non-parametric estimator based on the power transformation of the pooled pe- riodogram 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.

The generalised autocovariance function

LUATI, ALESSANDRA
2015

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 func- tions. A frequency domain non-parametric estimator based on the power transformation of the pooled pe- riodogram 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.
2015
Tommaso Proietti;Alessandra Luati
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/324315
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