| CONVERGENCE OF THE CLIPPED SAMPLE AUTOCORRELATION AND AUTOCOVARIANCE |
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| 作者姓名： | 何书元 |
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| 作者单位： | Department of Probability and Statistics，Peking University，Beijing 100871，China |
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| 摘 要： | 1.IntroductionClassicalmethodstoestimatetheautocorrelationandautocovarianceofastationarylineartimeseriesworkwellforgoodobservations,buttheyaresensitivetotheexistenceofoutliers.1]gayeamethodofestimatinganARprocessbycountingthenumberofcertainrunsintheassociatedclippedbinaryseries.Althoughinsodoingsomeefficiencyislost,theproceduregivesgoodestimatesagainstoutliers.LetX.,n=0,11,12,'1beareallinearGaussiansequencewithzeromeanandautocorrelationspj~EXoXj/EXI,j=0,1,'landXu,n~0,11,',theclipped…
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| 收稿时间： | 8 June 1994 |
Convergence of the clipped sample autocorrelation and autocovariance |
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| He Shuyuan.CONVERGENCE OF THE CLIPPED SAMPLE AUTOCORRELATION AND AUTOCOVARIANCE[J].Acta Mathematicae Applicatae Sinica,1998,14(1):36-42. |
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| Authors: | He Shuyuan |
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| Institution: | (1) Department of Probability and Statistics, Peking University, 100871 Beijing, China |
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| 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 law of the iterated logarithm and the central limit theorem for these statistics. |
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| Keywords: | Autocorrelation autocovariance CLT LIL |
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