Log in

Relevant bibliographies by topics / Autocovariance

Contents

Journal articles
Dissertations / Theses
Books
Book chapters
Conference papers
Reports

Academic literature on the topic 'Autocovariance'

Author: Grafiati

Published: 4 June 2021

Last updated: 11 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Autocovariance.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Autocovariance"

1

Dürre, Alexander, and Roland Fried. "Robust Test for Detecting Changes in the Autocovariance Function of a Time Series." Austrian Journal of Statistics 49, no. 4 (2020): 35–45. http://dx.doi.org/10.17713/ajs.v49i4.1123.

Full text

Abstract:

We propose a new robust test to detect changes in the autocovariance function of a time series. The test is based on empirical autocovariances of a robust transformation of the original time series. Because of the transformation, we do not require any finite moments of the original time series, making the test especially suitable for heavy tailed time series. We furthermore propose a lag weighting scheme, which puts emphasis on changes of the autocovariance at smaller lags. Our approach is compared to existing ones in some simulations.

APA, Harvard, Vancouver, ISO, and other styles

2

Brockwell, P. J. "Autocovariance." Wiley Interdisciplinary Reviews: Computational Statistics 1, no. 2 (2009): 187–98. http://dx.doi.org/10.1002/wics.20.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Okui, Ryo. "Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects." Journal of Time Series Econometrics 6, no. 2 (2014): 129–81. http://dx.doi.org/10.1515/jtse-2013-0017.

Full text

Abstract:

AbstractThis article proposes asymptotically unbiased estimators of autocovariances and autocorrelations for panel data with both individual and time effects. We show that the conventional autocovariance estimators suffer from the bias caused by the elimination of individual and time effects. The bias related to individual effects is proportional to the long-run variance, and it related to time effects is proportional to the value of the estimated autocovariance. For the conventional autocorrelation estimators, the elimination of time effects does not cause a bias while the elimination of indi

APA, Harvard, Vancouver, ISO, and other styles

4

Krause, Andreas. "Inventory Effects on Daily Returns in Financial Markets." International Journal of Theoretical and Applied Finance 06, no. 07 (2003): 739–65. http://dx.doi.org/10.1142/s0219024903002171.

Full text

Abstract:

In this paper we investigate the properties of daily returns arising from inventory effects. We therefore use the well established framework of inventory-based models from market microstructure theory. It is shown using simulation studies that from this model daily returns exhibit excess volatility, negative first-order autocovariances and the volatility has a positive first-order autocovariance, which is consistent with a GARCH-process. An empirical investigation shows that a substantial part of the properties of daily returns in stock market data can be explained by inventory effects.

APA, Harvard, Vancouver, ISO, and other styles

5

Wang, Hai-Bin, and Bo-Cheng Wei. "Separable lower triangular bilinear model." Journal of Applied Probability 41, no. 01 (2004): 221–35. http://dx.doi.org/10.1017/s0021900200014169.

Full text

Abstract:

The aim of this paper is to analyze the probabilistic structure for a rather general class of bilinear models systematically. First, the sufficient and necessary conditions for stationarity are given with a concise expression. Then both the autocovariance function and the spectral density function are obtained. The Yule–Walker-type difference equations for autocovariances are derived by means of the spectral density function. Concerning the second-order probabilistic structure, the model is similar to an ARMA model. The third-order probabilistic structure for the model is discussed and a group

APA, Harvard, Vancouver, ISO, and other styles

6

Wang, Hai-Bin, and Bo-Cheng Wei. "Separable lower triangular bilinear model." Journal of Applied Probability 41, no. 1 (2004): 221–35. http://dx.doi.org/10.1239/jap/1077134680.

Full text

Abstract:

The aim of this paper is to analyze the probabilistic structure for a rather general class of bilinear models systematically. First, the sufficient and necessary conditions for stationarity are given with a concise expression. Then both the autocovariance function and the spectral density function are obtained. The Yule–Walker-type difference equations for autocovariances are derived by means of the spectral density function. Concerning the second-order probabilistic structure, the model is similar to an ARMA model. The third-order probabilistic structure for the model is discussed and a group

APA, Harvard, Vancouver, ISO, and other styles

7

Avila, Remy. "Theoretical properties of the autocovariance of wavefront curvature induced by atmospheric turbulence and their potential for Cn2 profiling." Monthly Notices of the Royal Astronomical Society: Letters 507, no. 1 (2021): L11—L15. http://dx.doi.org/10.1093/mnrasl/slab080.

Full text

Abstract:

ABSTRACT Remote measurements of optical turbulence profiles $C_\mathrm{ \mathit{ n}}^2(h)$ in the Earth atmosphere are nowadays performed from the spatial autocovariance of either scintillation or the wavefront slope. Here, I theoretically study the properties of the spatio-angular autocovariance of the wavefront curvature induced by optical turbulence, assuming the von Kármán model for the complex amplitude fluctuations. The width of the curvature autocovariance function is approximately 10 times smaller than that of the scintillation and 1000 times smaller than that of the wavefront slope. T

APA, Harvard, Vancouver, ISO, and other styles

8

Genrich, J. F., and J. ‐B Minster. "Ship navigation for geophysical applications using Kalman‐filtered GPS fixes." GEOPHYSICS 56, no. 12 (1991): 1961–70. http://dx.doi.org/10.1190/1.1443007.

Full text

Abstract:

Based on a state vector representation of ship position and velocity, we have developed a Kalman filter that provides accurate navigation from position fixes supplied by a Global Positioning System (GPS) receiver. Quasi‐constant position offsets occurring for fixes associated with switches in observed satellite constellation are modeled by including constellation biases as state vector components. A proper choice of statistics for state propagation and measurement noise leads to improved positioning. However, it may also increase the statistical dependence of Kalman estimates over characterist

APA, Harvard, Vancouver, ISO, and other styles

9

Jiang, Guo. "The Structure of Autocovariance Matrix of Discrete Time Subfractional Brownian Motion." Mathematical Problems in Engineering 2018 (2018): 1–14. http://dx.doi.org/10.1155/2018/3132048.

Full text

Abstract:

This article explores the structure of autocovariance matrix of discrete time subfractional Brownian motion and obtains an approximation theorem and a structure theorem to the autocovariance matrix of this stochastic process. Moreover, we give an expression to the unique time varying eigenvalue of the autocovariance matrix in asymptotic means and prove that the increments of subfractional Brownian motion are asymptotic stationary processes. At last, we illustrate these results with numerical experiments and give some probable applications in finite impulse response filter.

APA, Harvard, Vancouver, ISO, and other styles

10

Hyndman, R. J., and M. P. Wand. "NONPARAMETRIC AUTOCOVARIANCE FUNCTION ESTIMATION." Australian Journal of Statistics 39, no. 3 (1997): 313–24. http://dx.doi.org/10.1111/j.1467-842x.1997.tb00694.x.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic "Autocovariance"

1

Cisse, Papa Ousmane. "Étude de modèles spatiaux et spatio-temporels." Thesis, Paris 1, 2018. http://www.theses.fr/2018PA01E060/document.

Full text

Abstract:

Ce travail porte sur les séries spatiales. On étudie les phénomènes dont l’observation est un processus aléatoire indexé par un ensemble spatial. Dans cette thèse on s’intéresse aux données bidimensionnelles régulièrement dispersées dans l’espace, on travaille alors dans un rectangle régulier (sur Z2) . Cette modélisation vise donc à construire des représentations des systèmes suivant leurs dimensions spatiales et à ses applications dans de nombreux domaines tels que la météorologie, l’océanographie, l’agronomie, la géologie, l’épidémiologie, ou encore l’économétrie etc. La modélisation spatia

APA, Harvard, Vancouver, ISO, and other styles

2

Horta, Eduardo de Oliveira. "Uma análise funcional da dinâmica de densidades de retornos financeiros." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2011. http://hdl.handle.net/10183/30623.

Full text

Abstract:

Uma correta especificação das funções densidade de probabilidade (fdp’s) de retornos de ativos é um tópico dos mais relevantes na literatura de modelagem econométrica de dados financeiros. A presente dissertação propõe-se a oferecer, neste âmbito, uma abordagem distinta, através de uma aplicação da metodologia desenvolvida em Bathia et al. (2010) a dados intradiários do índice bovespa. Esta abordagem consiste em focar a análise diretamente sobre a estrutura dinâmica das fdp’s dos retornos, enxergando-as como uma sequência de variáveis aleatórias que tomam valores em um espaço de funções. A dep

APA, Harvard, Vancouver, ISO, and other styles

3

Monsan, Vincent. "Estimation spectrale dans les processus périodiquement corréles." Rouen, 1994. http://www.theses.fr/1994ROUES030.

Full text

Abstract:

Nous considérons un processus périodiquement corrélé. Dans la première partie, nous donnons quelques propriétés de ce processus. Dans la seconde partie, nous estimons les densités spectrales de ce processus à partir d'un échantillonnage poissonnien avec des hypothèses sur les coefficients de Fourier de la fonction de covariance du processus. La troisième partie reprend les estimateurs de la deuxième partie, mais avec des hypothèses sur la fonction de covariance. Dans la quatrième partie, nous estimons les densités spectrales à partir d'un échantillonnage poissonnien de taille aléatoire. Dans l

APA, Harvard, Vancouver, ISO, and other styles

4

Telionis, Pyrros A. "Novel Applications of Geospatial Analysis in the Modeling of Infectious Diseases." Diss., Virginia Tech, 2019. http://hdl.handle.net/10919/89432.

Full text

Abstract:

At the intersection of geography and public health, the field of spatial epidemiology seeks to use the tools of geospatial analysis to answer questions about disease. In this work we explore two areas: the use of geostatistical modeling as an extension of niche modeling, and the use of mobility metrics to augment modeling for epidemic responses. Niche modeling refers to the practice of using statistical methods to relate the underlying spatially distributed environmental variables to an outcome, typically presence or absence of a species. Such work is common in disease ecology, and often fo

APA, Harvard, Vancouver, ISO, and other styles

5

Chiou, Hai-Tang, and 邱海唐. "Inference for regression models with time series errors — Inverse autocovariance matrix estimation and high dimensional model selection." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/3fv8sn.

Full text

Abstract:

博士<br>國立中山大學<br>應用數學系研究所<br>105<br>Linear regression is a well-known method to establish relationship between responses and explanatory variables, and has been used extensively in practical applications. This dissertation consists of two parts focus on statistical inference for linear regression models with time series errors. The first part concerns the problem of estimating inverse autocovariance matrices of long-memory processes admitting a linear representation. A modified Cholesky decomposition and an increasing order autoregressive model are adopted to construct the inverse autocovarianc

APA, Harvard, Vancouver, ISO, and other styles

6

Saint-Frard, Robinson. "Sur la validation des modèles de séries chronologiques spatio-temporelles multivariées." Thèse, 2011. http://hdl.handle.net/1866/5331.

Full text

Abstract:

Le présent mémoire porte sur les séries chronologiques qui en plus d’être observées dans le temps, présentent également une composante spatiale. Plus particulièrement, nous étudions une certaine classe de modèles, les modèles autorégressifs spatio-temporels généralisés, ou GSTAR. Dans un premier temps, des liens sont effectués avec les modèles vectoriels autorégressifs (VAR). Nous obtenons explicitement la distribution asymptotique des autocovariances résiduelles pour les modèles GSTAR en supposant que le terme d’erreur est un bruit blanc gaussien, ce qui représente une première contribution o

APA, Harvard, Vancouver, ISO, and other styles

7

Ursu, Eugen. "Contributions dans l'analyse des modèles vectoriels de séries chronologiques saisonnières et périodiques." Thèse, 2009. http://hdl.handle.net/1866/6539.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "Autocovariance"

1

Bose, Arup. Large Covariance and Autocovariance Matrices. Chapman and Hall/CRC, 2018. http://dx.doi.org/10.1201/9780203730652.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "Autocovariance"

1

Gooch, Jan W. "Autocovariance." In Encyclopedic Dictionary of Polymers. Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4419-6247-8_15152.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Wickerhauser, M. Victor. "Singularity Detection from Autocovariance via Wavelet Packets." In Wavelet Analysis and Its Applications. Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/3-540-45333-4_3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Pietrogrande, Maria Chiara, Nicola Marchetti, and Francesco Dondi. "Decoding 2-D Maps by Autocovariance Function." In Methods in Molecular Biology. Springer New York, 2016. http://dx.doi.org/10.1007/978-1-4939-3255-9_2.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Liu, Dazhong, Xuedong Tian, and Liang Zhu. "Autocovariance Based PCA Method for fMRI Data." In Brain Informatics and Health. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-09891-3_8.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Brockwell, Peter J., and Richard A. Davis. "Estimation of the Mean and the Autocovariance Function." In Springer Series in Statistics. Springer New York, 1991. http://dx.doi.org/10.1007/978-1-4419-0320-4_7.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Brockwell, Peter J., and Richard A. Davis. "Estimation of the Mean and the Autocovariance Function." In Springer Series in Statistics. Springer New York, 1987. http://dx.doi.org/10.1007/978-1-4899-0004-3_7.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Bosq, Denis. "Estimation of Autocovariance Operators for ARH(1) Processes." In Linear Processes in Function Spaces. Springer New York, 2000. http://dx.doi.org/10.1007/978-1-4612-1154-9_5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Kosek, Wiesław. "The Autocovariance Prediction of the Earth Rotation Parameters." In Geodesy and Physics of the Earth. Springer Berlin Heidelberg, 1993. http://dx.doi.org/10.1007/978-3-642-78149-0_104.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Atanasov, Ivailo S., and Oleg I. Yordanov. "Approximate Self-Affinity and Autocovariance Function Models of Ballistic Deposits." In Nano-Crystalline and Thin Film Magnetic Oxides. Springer Netherlands, 1999. http://dx.doi.org/10.1007/978-94-011-4493-3_24.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Dudek, Anna E., and Paweł Potorski. "Bootstrapping the Autocovariance of PC Time Series - A Simulation Study." In Applied Condition Monitoring. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-22529-2_3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Autocovariance"

1

Kontorovich, Valeri, and Serguei Primak. "Autocovariance receiver for DTSM." In the 2009 International Conference. ACM Press, 2009. http://dx.doi.org/10.1145/1582379.1582648.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Dunik, Jindrich, Ondrej Straka, and Oliver Kost. "Measurement difference autocovariance method for noise covariance matrices estimation." In 2016 IEEE 55th Conference on Decision and Control (CDC). IEEE, 2016. http://dx.doi.org/10.1109/cdc.2016.7798296.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Wang, Siyun, and Michael Baldea. "Autocovariance-based MPC model mismatch estimation for SISO systems." In 2015 54th IEEE Conference on Decision and Control (CDC). IEEE, 2015. http://dx.doi.org/10.1109/cdc.2015.7402674.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Akesson, Bernt M., John Bagterp Jorgensen, and Sten Bay Jorgensen. "A Generalized Autocovariance Least-Squares Method for Covariance Estimation." In 2007 American Control Conference. IEEE, 2007. http://dx.doi.org/10.1109/acc.2007.4282878.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Zhao Liqiang, Wang Jianlin, Yu Tao, Chen Kunyun, and Jian Huan. "Colored noise estimation algorithm based on autocovariance least-squares method." In 2015 12th IEEE International Conference on Electronic Measurement & Instruments (ICEMI). IEEE, 2015. http://dx.doi.org/10.1109/icemi.2015.7494244.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Avila, Remy. "Correct normalization of scintillation autocovariance for generalized SCIDAR: Theory and application." In Adaptive Optics: Methods, Analysis and Applications. OSA, 2011. http://dx.doi.org/10.1364/aopt.2011.jtua5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Riva, Mauro Hernan, Matthias Dagen, and Tobias Ortmaier. "Comparison of covariance estimation using autocovariance LS method and adaptive SRUKF." In 2017 American Control Conference (ACC). IEEE, 2017. http://dx.doi.org/10.23919/acc.2017.7963856.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Rojas, Cristian R., James S. Welsh, and Graham C. Goodwin. "A Receding Horizon Algorithm to Generate Binary Signals with a Prescribed Autocovariance." In 2007 American Control Conference. IEEE, 2007. http://dx.doi.org/10.1109/acc.2007.4282431.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Tucker, Sara C., Carl Weimer, Mike Adkins, et al. "Optical Autocovariance Wind Lidar (OAWL): aircraft test-flight history and current plans." In SPIE Optical Engineering + Applications, edited by Upendra N. Singh. SPIE, 2015. http://dx.doi.org/10.1117/12.2190792.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Gerardo-Ramirez, Fernando-Pena, Ramon-Parra-Michel, and Valeri-Kontorovich. "Non-coherent autocovariance receiver for DPSK-k modulation invariant to channel distortions." In 2020 29th Wireless and Optical Communications Conference (WOCC). IEEE, 2020. http://dx.doi.org/10.1109/wocc48579.2020.9114935.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Autocovariance"

1

Houdre, Christian, and Benjamin Kedem. On Autocovariance Estimation for Discrete Spectrum Stationary Time Series. Defense Technical Information Center, 1993. http://dx.doi.org/10.21236/ada455033.

Full text

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!