Autocorrelation Functions

Richard Finlay, Thomas Fung, Eugene Seneta*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    9 Citations (Scopus)

    Abstract

    We explain the connection between autocorrelation functions of stationary continuous time processes and real characteristic functions, and review sufficient conditions for a function to be an autocorrelation function. We also give probabilistic constructions for time series reformulations of Theorem on characteristic functions, and classical theorem in Fourier analysis. Our constructions allow the marginal distribution of the process to be any infinitely divisible distribution with finite variance.

    Original languageEnglish
    Pages (from-to)255-271
    Number of pages17
    JournalInternational Statistical Review
    Volume79
    Issue number2
    DOIs
    Publication statusPublished - Aug 2011

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