Asymptotic expansions for the moments of serial correlation coefficients

DOI10.1080/03610928108828207zbMath0474.62082OpenAlexW2014325787MaRDI QIDQ3928866

A. M. M. Taibah, J. Y. Kassab

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1080/03610928108828207

zbMATH Keywords

asymptotic expansionsmaximum likelihood estimatorbiasmean square errormoment generating functionhyperelliptic integralsintra-class correlationfirst order autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10) Elliptic functions and integrals (33E05)

Cites Work

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• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• The moments of the Leipnik distribution
• On the Estimation of Autocorrelation in time Series
• A note on maximum likelihood estimation for the first-order autoregressive process
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Moments of the Ratio of the Mean Square Successive Difference to the Mean Square Difference in Samples From a Normal Universe
• Distribution of the Serial Correlation Coefficient in a Circularly Correlated Universe
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Serial Correlation and Quadratic Forms in Normal Variables

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