Sample moments of the autocorrelations of moving average processes and a modification to bartlett'sasymptotic variance formula

DOI10.1080/03610928008827975zbMath0443.62071OpenAlexW2087060714MaRDI QIDQ3886709

Paul Newbold, Neville Davies

Publication date: 1980

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928008827975

zbMATH Keywords

time seriesmoving average processmodel identificationsample autocorrelationsBartlett asymptotic variance formula

Mathematics Subject Classification ID

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

Related Items (2)

Sampled autocovariance and autocorrelation results for linear time processes ⋮ HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES

Cites Work

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• On a measure of lack of fit in time series models
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• SOME THEOREMS ON TIME SERIES. I
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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