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

DOI10.1016/0096-3003(94)90058-2zbMath0807.65145OpenAlexW2083831729MaRDI QIDQ1339766

Rolando Cavazos-Cadena

Publication date: 8 December 1994

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(94)90058-2

zbMATH Keywords

asymptotic covariance matrixsample autocorrelations\(\text{ARMA}(p,q)\) process

Mathematics Subject Classification ID

Cites Work

• The asymptotic distribution of sample autocorrelations for a class of linear filters
• A simple form of Bartlett's formula for autoregressive processes
• Approximation Theorems of Mathematical Statistics
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