Nonparametric Autocovariance Function Estimation

Summary Nonparametric estimators of autocovariance functions for non‐stationary time series are developed. The estimators are based on straightforward nonparametric mean function estimation ideas and allow use of any linear smoother (e.g. smoothing spline, local polynomial). The paper studies the properties of the estimators, and illustrates their usefulness through application to some meteorological and seismic time series.