Evolutive instantaneous spectrum associated with partial autocorrelation function
نویسندگان
چکیده
منابع مشابه
Analysis of the Instantaneous Estimate of Autocorrelation
Introduction: The Problem • Many signals are not stationary of the second order (their Autocorrelation Function (ACF) is time-varying) • The ACF is used to develop filters and predictors (e.g. for signal compression) • This suggests that we need filters and predictors that are time-varying • A common approach has been to assume local stationarity: We can estimate filters for the signal by using...
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The second order properties of a process are usually characterized by the autocovariance function. In the stationary case, the parameterization by the partial autocorrelation function is relatively recent. We extend this parameterization to the nonstationary case. The advantage of this function is that it is subject to very simple constraints in comparison with the autocovariance function which...
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The second order properties of a process are usually characterized by the autocovariance function. In the stationary case, the parameterization by the partial autocorrelation function is relatively recent. We extend this parameterization to the nonstationary case. The advantage of this function is that it is subject to very simple constraints in comparison with the autocovariance function which...
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This paper provides an explanation for the puzzling phenomenon in Tieslau et al. (1996, Journal of Econometrics 71, 249}264) that a substantial e$ciency loss occurs if low-order autocorrelations are omitted when estimating the di!erencing parameter, d. This is because for all n strictly bigger than 1, the nth-order autocorrelation function does not depend uniquely on the di!erencing parameter. ...
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A quasiclassical method which enables evaluation of complex autocorrelation function from classical trajectory calculations is proposed. The method is applied for two highly excited nonlinearly coupled harmonic oscillators in regimes prevailed either by regular or chaotic classical motions. A good agreement of classical and quantum autocorrelation functions is found within short (Ehrnfest) time...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2002
ISSN: 0143-9782,1467-9892
DOI: 10.1111/1467-9892.00269