A note on the expectation of products of autocorrelations

DOI10.1093/biomet/70.2.528zbMath0533.62083OpenAlexW2006051260MaRDI QIDQ3316427

Jorma Kaarlo Merikoski, Tarmo M. Pukkila

Publication date: 1983

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/70.2.528

zbMATH Keywords

momentsstationary time seriesexpectation of products of autocorrelations

Mathematics Subject Classification ID

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

Related Items (3)

Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process ⋮ The Sampling Distribution of the Serial Correlation Coefficient ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES

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