A note on limiting distribution of the sample auto-covariance function for the first-order autoregressive (AR(1)) model

DOI10.1080/03610926.2018.1481980OpenAlexW2895957254WikidataQ129120582 ScholiaQ129120582MaRDI QIDQ5864793

Mohammad Reza Kazemi, Mohammad Reza Mahmoudi

Publication date: 10 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2018.1481980

zbMATH Keywords

limiting distributionauto-covariance functionAR(1)

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Covariance matrix estimation for stationary time series
• The asymptotic distribution of serial covariances
• Nonparametric estimation of large covariance matrices of longitudinal data
• Inference For Autocorrelations Under Weak Assumptions
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Diagnostic Checking in ARMA Models With Uncorrelated Errors