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Convergence of the clipped sample autocorrelation and autocovariance

Convergence of the clipped sample autocorrelation and autocovariance Statistics composed of clipped binary sequences are not sensitive to the existence of outliers. We estimate the autocorrelation and autocovariance functions of a linear Gaussian stationary sequence by the clipped binary series, and show the low of the iterated logairthm and the central limit theorem for these statistics. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Convergence of the clipped sample autocorrelation and autocovariance

Acta Mathematicae Applicatae Sinica , Volume 14 (1) – Jul 3, 2007

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Publisher
Springer Journals
Copyright
Copyright © 1998 by Science Press
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF02677346
Publisher site
See Article on Publisher Site

Abstract

Statistics composed of clipped binary sequences are not sensitive to the existence of outliers. We estimate the autocorrelation and autocovariance functions of a linear Gaussian stationary sequence by the clipped binary series, and show the low of the iterated logairthm and the central limit theorem for these statistics.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jul 3, 2007

References