The work revisits the autocovariance function estimation, a fundamental problem in statistical inference for time series. We convert the function estimation problem into constrained penalized ...

The autocovariance function of the random variable Y t is defined as The spectral density function of a white noise is a constant. The spectral density function of the AR(1) process is given by Refer ...

This is a preview. Log in through your library . Abstract The purpose of this paper is to show that the empirical characteristic function, when suitably normalised, converges weakly to a stationary ...

Notice that if (or ) then we get . Jargon: We call the lag and say that for an process the autocovariance function is 0 at lags larger than . To identify an look at a ...