文章基本信息

标题：The local partial autocorrelation function and some applications
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作者：Rebecca Killick ; Marina I. Knight ; Guy P. Nason 等
期刊名称：Electronic Journal of Statistics
印刷版ISSN：1935-7524
出版年度：2020
卷号：14
期号：2
页码：3268-3314
DOI：10.1214/20-EJS1748
语种：English
出版社：Institute of Mathematical Statistics
摘要：The classical regular and partial autocorrelation functions are powerful tools for stationary time series modelling and analysis. However, it is increasingly recognized that many time series are not stationary and the use of classical global autocorrelations can give misleading answers. This article introduces two estimators of the local partial autocorrelation function and establishes their asymptotic properties. The article then illustrates the use of these new estimators on both simulated and real time series. The examples clearly demonstrate the strong practical benefits of local estimators for time series that exhibit nonstationarities.
关键词：Locally stationary time series;integrated local wavelet periodogram;wavelets;practical estimation;Haar cross-correlation wavelet