LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES

Roberto Baragona and Francesco Battaglia

Journal of Time Series Analysis, 1995, vol. 16, issue 6, 531-538

Abstract: Abstract. The inverse correlation function of a stationary time series was introduced by Cleveland (The inverse autocorrelations of a time series and their applications. Technometrics 14 (1972), 277–93). In this paper inverse correlations are defined for non‐stationary time series {xt, integer t} such that yt= (1 —Bs)dxt is second‐order stationary. The linear interpolator and the inverse process of {xt} are also defined:their weights are shown to be time invariant and proportional to the inverse correlations. The interpolation method for the estimation of the inverse correlation function of a stationary time series is extended to the non‐stationary series {xt} and the asymptotic properties of the estimates are found to be similar to those in the stationary case.

Date: 1995
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https://doi.org/10.1111/j.1467-9892.1995.tb00252.x

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