Article ID Journal Published Year Pages File Type
1147252 Journal of Multivariate Analysis 2008 18 Pages PDF
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
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