ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION

Francesco Battaglia

Journal of Time Series Analysis, 1988, vol. 9, issue 1, 1-10

Abstract: Two new methods for estimating the inverse covariance and inverse correlation functions of a time series are proposed. One of them is based on an orthogonality property, the other is suggested by interpolation considerations. The two methods are shown to be asymptotically equivalent, and their asymptotic distribution is derived. The asymptotic distribution turns out to be the same as that of the autoregressive estimates of the inverse correlations. The problem of choosing an estimation method in practice is discussed.

Date: 1988
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