Mean and Autocovariance Function Estimation Near the Boundary of Stationarity
We analyze the applicability of standard normal asymptotic theory for linear process models near the boundary of stationarity. Limit results are given for estimation of the mean, autocovariance and autocorrelation functions within the broad region of stationarity that includes near boundary cases wh...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1831 https://ink.library.smu.edu.sg/context/soe_research/article/2830/viewcontent/MeanAutocovarianceFunctionEstimation_2012.pdf |
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| Institution: | Singapore Management University |
| Language: | English |