Approximate moments to \(O(n^{-2})\) for the sampled partial autocorrelations from a white noise process

DOI10.1016/0167-9473(93)90157-OzbMath0937.62642OpenAlexW2065268060MaRDI QIDQ1361564

Oliver D. Anderson

Publication date: 31 August 1997

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

Full work available at URL: https://doi.org/10.1016/0167-9473(93)90157-o

zbMATH Keywords

simulationtime seriesorder of errorPitman's theoremdurbin's recursion formulaserial correlation moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE ⋮ Approximation and simulation of probability distributions with a variable kurtosis value ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES

Uses Software

• IMSL Numerical Libraries
• LLRANDOM

Cites Work

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• EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
• Testing for serial correlation with exponentially distributed variates
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
• Rank correlation and product-moment correlation
• The Joint Distribution of Serial Correlation Coefficients
• An angular transformation for the serial correlation coefficient

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