Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process

DOI10.2307/3315458zbMath0708.62080OpenAlexW1971887014MaRDI QIDQ3490806

Oliver D. Anderson

Publication date: 1990

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315458

zbMATH Keywords

central momentsmoment generating functionsCumulantshigher momentsserial correlationsPitman's theoremmean-corrected serial covariancesmoments about zerotime-series realizationwhite-noise Gaussian process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Related Items (10)

On the distribution of the sample autocorrelation coefficients ⋮ EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE ⋮ Approximate moments to \(O(n^{-2})\) for the sampled partial autocorrelations from a white noise process ⋮ The Sampling Distribution of the Serial Correlation Coefficient ⋮ On approximating the distribution of indefinite quadratic forms ⋮ A note on scale mixtures of skew normal distribution ⋮ Inference About the First-Order Autoregressive Coefficient ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES ⋮ The exact distribution of indefinite quadratic forms in noncentral normal vectors ⋮ The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution

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