Abstract.The inverse correlation function of a stationary time series was introduced by Cleveland (The inverse autocorrelations of a time series and their applications.Technometrics14 (1972), 277–93). In this paper inverse correlations are defined for non‐stationary time series {xt, integert} such thatyt= (1 —Bs)dxtis second‐order stationary. The linear interpolator and the inverse process of {xt} are also defined:their weights are shown to be time invariant and proportional to the inverse correlations. The interpolation method for the estimation of the inverse correlation function of a stationary time series is extended to the non‐stationary series {xt} and the asymptotic properties of the estimates are found to be similar to those in the statio
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