The asymptotic distribution of sample autocorrelations for a class of linear filters

DOI10.1006/JMVA.1994.1005zbMath0795.62084OpenAlexW2160825612MaRDI QIDQ1319954

Rolando Cavazos-Cadena

Publication date: 21 April 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1994.1005

zbMATH Keywords

stationary time seriesBartlett formulafiltering weightssample autocorrelation functionssquared integrablesquared integrable spectral densitysquared summable filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes

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