Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes
type: Item
instance of: scholarly article
title: Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes
zbMATH Open document ID: 0807.65145
DOI: 10.1016/0096-3003(94)90058-2
author: Rolando Cavazos-Cadena
published in: Applied Mathematics and Computation
publication date: 1994-12-08T00:00:00Z
review text: An algebraic procedure is derived to compute the asymptotic covariance matrix of a vector of sample autocorrelations obtained from an \(\text{ARMA}(p,q)\) process.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65F30
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 700385
zbMATH Keywords: asymptotic covariance matrix
zbMATH Keywords: sample autocorrelations
zbMATH Keywords: \(\text{ARMA}(p,q)\) process
MaRDI profile type: Publication
full work available at URL: 0096-3003(94)90058-2
OpenAlex ID: W2083831729
cites work: Q5631966
cites work: Q3827448
cites work: The asymptotic distribution of sample autocorrelations for a class of linear filters
cites work: Q5558326
cites work: A simple form of Bartlett's formula for autoregressive processes
cites work: Approximation Theorems of Mathematical Statistics
description: scientific article; zbMATH DE number 700385