nonlinear correlation structure is modelled nonparametrically using TSMARS, a time series version of Friedman's extended … Fraser River data than a corresponding linear periodic AR model. Keywods: Nonlinearity, periodic correlation, streamflows …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this … this autocorrelation component from theaveraged series. In addition we investigate thepotential effect of averaging on …

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component …

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally … applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …