Department of Economics and Business Economics

The generalised autocovariance function

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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 non-parametric 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.

Original languageEnglish
JournalJournal of Econometrics
Volume186
Issue1
Pages (from-to)245–257
ISSN0304-4076
DOIs
Publication statusPublished - 2015

    Research areas

  • Discriminant analysis, Feature matching, Spectral estimation, Stationary processes, White noise tests

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