Premium
NONPARAMETRIC AUTOCOVARIANCE FUNCTION ESTIMATION
Author(s) -
Hyndman R.J.,
Wand M.P.
Publication year - 1997
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1997.tb00694.x
Subject(s) - autocovariance , estimator , nonparametric statistics , smoothing spline , series (stratigraphy) , smoothing , mathematics , nonparametric regression , spline (mechanical) , estimation , econometrics , statistics , mathematical optimization , computer science , spline interpolation , engineering , mathematical analysis , paleontology , structural engineering , systems engineering , bilinear interpolation , fourier transform , biology
Summary Nonparametric estimators of autocovariance functions for non‐stationary time series are developed. The estimators are based on straightforward nonparametric mean function estimation ideas and allow use of any linear smoother (e.g. smoothing spline, local polynomial). The paper studies the properties of the estimators, and illustrates their usefulness through application to some meteorological and seismic time series.