eprintid: 1886
rev_number: 10
eprint_status: archive
userid: 2
dir: disk0/00/00/18/86
datestamp: 2017-02-08 13:45:58
lastmod: 2018-03-28 12:10:52
status_changed: 2017-02-08 13:45:58
type: book_section
metadata_visibility: show
creators_name: Box, George E. P.
creators_name: Jenkins, Gwilym M.
creators_name: Reinsel, Gregory C.
creators_name: Ljung, Greta M.
corp_creators: University College London
title: Autocorrelation Function and Spectrum of Stationary Processes
subjects: MP4
divisions: EPOS-IP
full_text_status: none
abstract: 2. Autocorrelation Function and Spectrum of Stationary Processes 21
2.1 Autocorrelation Properties of Stationary Models, 21
2.1.1 Time Series and Stochastic Processes, 21
2.1.2 Stationary Stochastic Processes, 24
2.1.3 Positive Definiteness and the Autocovariance Matrix, 26
2.1.4 Autocovariance and Autocorrelation Functions, 29
2.1.5 Estimation of Autocovariance and Autocorrelation Functions, 30
2.1.6 Standard Errors of Autocorrelation Estimates, 31
2.2 Spectral Properties of Stationary Models, 34
2.2.1 Periodogram of a Time Series, 34
2.2.2 Analysis of Variance, 35
2.2.3 Spectrum and Spectral Density Function, 36
2.2.4 Simple Examples of Autocorrelation and Spectral Density
Functions, 40
2.2.5 Advantages and Disadvantages of the Autocorrelation and Spectral
Density Functions, 43
Appendix A2.1 Link Between the Sample Spectrum and Autocovariance
Function Estimate, 43
Exercises, 44
publisher: Wiley
pagerange: 21-46
isbn: 978-1-118-67502-1
book_title: Time Series Analysis: Forecasting and Control
official_url: http://eu.wiley.com/WileyCDA/WileyTitle/productCd-1118675029.html
access_IS-EPOS: limited
software_references: Autocorrelation
owner: Publisher
citation:   Box, George E. P. and Jenkins, Gwilym M. and Reinsel, Gregory C. and Ljung, Greta M.   Autocorrelation Function and Spectrum of Stationary Processes.   In:  Time Series Analysis: Forecasting and Control.   Wiley, pp. 21-46.  ISBN 978-1-118-67502-1