Czasopismo
2007
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Vol. 27, Fasc. 2
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247--260
Tytuł artykułu
Autorzy
Wybrane pełne teksty z tego czasopisma
Warianty tytułu
Języki publikacji
Abstrakty
The article deals with the special subclass of φ-mixing periodically correlated (PC) time series and the estimation of autocovariance through Fourier coefficients. The aim is to investigate whether the subsampling of the autocovariance estimator is consistent. It is shown that the consistency holds for frequencies λ=0 and λ=π. Theoretical reasoning is supplemented with a simulation study.
Czasopismo
Rocznik
Tom
Strony
247--260
Opis fizyczny
Bibliogr. 10 poz., tab., wykr.
Twórcy
autor
- Faculty of Applied Mathematics, AGH University of Science and Technology, Faculty of Applied Mathematics, al. Mickiewicza 30, 30-059 Kraków, Poland, rsynowie@agh.edu.pl
Bibliografia
- [1] P. Billingsley, Convergence of Probability Measures, Wiley, New York 1968.
- [2] P. Bloomfield, H. Hurd and R. Lund, Periodic correlation in stratospheric ozone time series, J. Time Ser. Anal. 15 (1994), pp. 127-150.
- [3] P. Brockwell and R. Davis, Time Series: Theory and Methods, Springer, New York 1991.
- [4] E. Broszkiewicz-Suwaj, A. Makagon, R. Weron and A. Wyłomańska, On detecting and modelling periodic correlation in financial data, Phys. A 336 (2004), pp. 196-205.
- [5] D. Dehay and J. Leśkow, Functional limit theory for the spectral covariance estimator, J. Appl. Probab. 33 (1996), pp. 1077-1092.
- [6] H. Hurd, Correlation theory of almost periodically correlated processes, J. Multivariate Anal. 30 (1991), pp. 24-45.
- [7] H. Hurd and J. Leśkow, Estimation of the Fourier coefficient functions and their spectral densities for ф-mixing almost periodically correlated processes, Statist. Probab. Lett. 14 (1992), pp. 299-306.
- [8] H. Hurd and J. Leśkow, Strongly consistent and asymptotically normal estimation of the covariance for almost periodically correlated processes, Statist. Decisions 10 (1992), pp. 201-225.
- [9] A. Napolitano, The higher order theory of generalized almost-cyclostationary time-series, IEEE Trans. Signal Process. 46 (1998), pp. 2975-2989.
- [10] D. Politis, J. Romano and M. Wolf, Subsampling, Springer, New York 1999.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.baztech-fb12ac98-7877-4081-98c7-c644a725736d