Browsing by Subject "Autocovariances"
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Article
Moving Average Processes and Maximum Entropy
(1992)A characterization of the stochastic process that has maximum entropy among all moving average processes of order q, subject to the condition that the autocovariances γ(k) satisfy γ(k)= ck, for k = 0, 1, …, p, is provided ...
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Article
Valid resampling of higher-order statistics using the linear process bootstrap and autoregressive sieve bootstrap
(2013)We show that the linear process bootstrap (LPB) and the autoregressive sieve bootstrap (AR sieve) are, in general, not valid for statistics whose large-sample distribution depends on moments of order higher than two, ...