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ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION
Author(s) -
Battaglia Francesco
Publication year - 1988
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1988.tb00448.x
Subject(s) - mathematics , inverse , orthogonality , covariance , autoregressive model , interpolation (computer graphics) , series (stratigraphy) , covariance function , distribution (mathematics) , statistics , mathematical analysis , animation , paleontology , computer graphics (images) , geometry , computer science , biology
Two new methods for estimating the inverse covariance and inverse correlation functions of a time series are proposed. One of them is based on an orthogonality property, the other is suggested by interpolation considerations. The two methods are shown to be asymptotically equivalent, and their asymptotic distribution is derived. The asymptotic distribution turns out to be the same as that of the autoregressive estimates of the inverse correlations. The problem of choosing an estimation method in practice is discussed.