The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution

DOI10.1016/S0167-7152(98)00129-1zbMath0909.62080MaRDI QIDQ1272998

Marc G. Genton

Publication date: 8 April 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

time serieskurtosisdependent dataautocovariance

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Nonparametric variogram and covariogram estimation with Fourier-Bessel matrices, Spatial circulants, with applications, A note on scale mixtures of skew normal distribution, Moments of skew-normal random vectors and their quadratic forms

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some robust exact results on sample autocorrelations and tests of randomness
• Corrigendum to: ``Some robust exact results on sample autocorrelations and tests of randomness
• Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
• Sampled autocovariance and autocorrelation results for linear time processes
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR
• EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
• HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES