Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1147252 | Journal of Multivariate Analysis | 2008 | 18 Pages |
Abstract
Symmetries of the auto-cumulant function (a generalization of the auto-covariance function) of a kkth-order stationary time series are derived through a connection with the symmetric group of degree kk. Using the theory of group representations, symmetries of the auto-cumulant function are demystified and lag-window functions are symmetrized to satisfy these symmetries. A generalized Gabr–Rao optimal kernel is also derived through the developed theory.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Arthur Berg,