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Correlograms for non-stationary autoregressions

  • Bent Nielsen

Analysis of time series often involves correlograms and partial correlograms as graphical descriptions of temporal dependence. Two methods are available for computing these statistics: one based on autocorrelations and the other on scaled autocovariances. For a stationary time series the resulting plots are nearly identical. When it comes to time series exhibiting non-stationary features these methods can lead to very different results. This has two consequences: incorrect inferences can be drawn when confusing these concepts; better discrimination between stationary and non-stationarity is achieved when using autocorrelations instead of, or along with, the autocovariances which are commonly used in statistical software. Copyright 2006 Royal Statistical Society.

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Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).

Volume (Year): 68 (2006)
Issue (Month): 4 ()
Pages: 707-720

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Handle: RePEc:bla:jorssb:v:68:y:2006:i:4:p:707-720
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