CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS

DOI10.1111/j.1467-9892.1991.tb00089.xzbMath0735.62091OpenAlexW1970598017MaRDI QIDQ3985819

Roch Roy, Guy Mélard, Marianne Paesmans

Publication date: 27 June 1992

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13722/1/MEPARO.pdf

zbMATH Keywords

consistent estimatormultivariate time seriesnon-negative definitenessasymptotic covariance structure of serial correlationsgeneralization of Bartlett's formulamultivariate second-order stationary processsample autocorrelation matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

On the identification of ARMA echelon-form models, Testing for symmetric correlation matrices with applications to factor models, Covariance matrix estimation for estimators of mixing weak ARMA models, Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas, Estimating linear representations of nonlinear processes, Adjusting for confounders in cross-correlation analysis: an application to resting state networks

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