Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 0752.60031
Martin, R.J.; Eccleston, J.A.
A new model for slowly-decaying correlations. (English)
[J] Stat. Probab. Lett. 13, No.2, 139-145 (1992). ISSN 0167-7152

The authors consider a discrete second-order stationary process with slowly decaying autocorrelation function $\{\rho\sb h\}$. It is assumed that $\rho\sb h=\rho/\vert h\vert$ for $h\in Z$, i.e. the autocorrelations are not absolutely summable. The spectral density function is calculated, which turns out to be unbounded at zero. Several other properties of the process are listed. Among other things the asymptotic behaviour of the eigenvalues of the autocovariance matrix is investigated. In order to obtain an estimator for the parameter $\rho$, the maximum likelihood method is applied.
[Wolfgang Schmid (Ulm)]

MSC 2000:: *60G10 Stationary processes

Keywords: time series; second-order stationary process; spectral density function; maximum likelihood method

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]