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Analysis of time series from mixed distributions

Robinson, Peter (1982) Analysis of time series from mixed distributions. Annals of Statistics, 10 (3). pp. 915-925. ISSN 0090-5364

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Identification Number: 10.1214/aos/1176345881


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.

Item Type: Article
Official URL:
Divisions: LSE
Sets: Collections > Economists Online
Date Deposited: 27 Apr 2007
Last Modified: 07 Sep 2021 23:09

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