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References in periodicals archive ?
The lines labeled "ECM-predicted" in figure 4 show the estimated nonstationary model's predictions for the variance of male earnings as a function of age (top panel) and for the autocovariance function of male earnings (bottom panel).
The autocorrelation coefficient at lag 1 is given by the relation between the autocovariance at lag 1 and the variance, that is
To choose an appropriate intermediate time lag, the autocovariance function was inspected, as seen in Equation 13, for each input variable at multiples of one hour.
As before, roughness is due to both the initial state of the coating and the subsequent degradation but if the unexposed coating surface profile is reasonably smooth then it becomes dominated by the degradation but does not change the horizontal autocovariance length, (25) thus equation (8) may incorporate the weathering roughening as:
Output growth has a lower autocorrelation coefficient than stochastic volatility in our calibration, but because output growth has a much higher unconditional volatility, it has a much higher autocovariance than stochastic volatility.
The problem with the Roll's measure is that the sample autocovariance is frequently positive due to the non-stationarity of the probability distribution of price changes.
This generates a variance and autocovariance structure for the forecast errors.
Hybrid measures such as autocorrelation function, autocovariance function, power spectral density function, and cumulative power spectral density function may show more promise for gluebond performance prediction than two-dimensional measures alone.
We estimate the variance and autocovariance structure of "innovations" to the fertility process from time series analysis of the historical U.
the empirical spectrum and empirical autocovariance functions of chaotic series are the same as those generated by random variables, implying that chaotic series will not be identified as such by most standard techniques.
Statistical measures of heterogeneity (including descriptive statistics regarding hydraulic conductivity and spacing or density of fractures) include autocovariance and autocorrelation functions (Freeze and others 1990) and fractal dimensions of permeability of stratified soils (Kemblowski and Wen 1993).
The Modified R/S statistic differs from the classical R/S in that, in addition to the variance, it incorporates the autocovariance of X in the denominator (see equations below).