On confidence intervals and tests for autocorrelations

DOI10.1016/0167-9473(87)90005-3zbMath0605.62093OpenAlexW2055960681MaRDI QIDQ1083819

Roch Roy, Guy Mélard

Publication date: 1987

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13702/1/Melard_Roy_CSDA87_1-s2.0-0167947387900053-main.pdf

zbMATH Keywords

tablesalgorithmMonte Carlo simulationsstationary time seriesasymptotic confidence intervalssample autocorrelationsasymptotic variances and covariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP ⋮ A comparison of some autocovariance-based methods of arma model selection: a simulation study ⋮ Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas

Cites Work

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• Some efficient computational procedures for high order ARMA models
• ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES
• Sur un test d'égalité des autocovariances de deux séries chronologiques
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• A Note on the Statistical Estimation of Supply and Demand Relations from Time Series

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