The Generalised Autocovariance Function

Luati AlessandraProietti Tommaso
CEIS Research Paper
The generalised autocovariance function is defined for a stationary stochastic process as the inverse Fourier transform of the power transformation of the spectral density function. Depending on the value of the transformation parameter, this function nests the inverse and the traditional autocovariance functions. A frequency domain non-parametric estimator based on the power transformation of the pooled periodogram is considered and its asymptotic distribution is derived. The results are employed to construct classes of tests of the white noise hypothesis, for clustering and discrimination of stochastic processes and to introduce a novel feature matching estimator of the spectrum.
Number: 276
Keywords: Stationary Gaussian processes. Non-parametric spectral estimation. White noise tests. Feature matching. Discriminant Analysis
Volume: 11
Issue: 7
Date: Tuesday 30 April 2013
Revision Date: Tuesday 30 April 2013