A simple form of Bartlett's formula for autoregressive processes

DOI10.1016/0167-7152(94)90108-2zbMath0791.62086OpenAlexW1991200358MaRDI QIDQ1324606

Rolando Cavazos-Cadena

Publication date: 24 May 1994

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

Full work available at URL: https://doi.org/10.1016/0167-7152(94)90108-2

zbMATH Keywords

matrix productrecursive methodasymptotic covariance matrixBartlett's formulaautoregressive process of finite orderrecursive calculation of Bartlett matricesvector of sample autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes ⋮ Quenouille-type theorem on autocorrelations ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Bartlett's formulae -- closed forms and recurrent equations

Cites Work

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