Robinson, Peter (1982) Analysis of time series from mixed distributions. Annals of Statistics, 10 (3). pp. 915-925. ISSN 0090-5364
Some stationary and non-stationary time series arise from mixed distributions, the probabilities attached to the occurrence of certain values being positive, while a continuum of possible values is also involved. Such series are modeled in terms of a stationary Gaussian process $X_t$, which is censored when it crosses certain thresholds. Procedures are proposed for estimating the autocorrelation function of $X_t$. Their strong consistency and asymptotic normality are established. We suggest tests of the hypothesis that $X_t$ is white noise.
|Sets:||Collections > Economists Online|
|Date Deposited:||27 Apr 2007|
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