Sampled autocovariance and autocorrelation results for linear time processes

DOI10.1080/03610918808812676zbMath0695.62212OpenAlexW1973661863MaRDI QIDQ3471560

Jan G. De Gooijer, Oliver D. Anderson

Publication date: 1988

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918808812676

zbMATH Keywords

ARIMATaylor expansionsARMABartlett approximationARUMA modelsmoments of serial correlations

Mathematics Subject Classification ID

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

Related Items (6)

The serial correlation structure for a random process with steps ⋮ More effective time-series analysis and forecasting ⋮ Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process ⋮ Discriminating between nonstationary and nearly nonstationary time series models: A simulation study ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES ⋮ The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution

Cites Work

• Some robust exact results on sample autocorrelations and tests of randomness
• Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
• Sample moments of the autocorrelations of moving average processes and a modification to bartlett'sasymptotic variance formula
• Unnamed Item

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