Asymptotic covariance structure of serial correlations in multivariate time series
From MaRDI portal
Publication:3834916
DOI10.1093/biomet/76.4.824zbMath0678.62085MaRDI QIDQ3834916
Publication date: 1989
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/76.4.824
asymptotic covariance; Bartlett's formula; serial correlations; asymptotic joint normality; multivariate second- order stationary time series
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
Related Items
Tests for noncorrelation of two multivariate ARMA time series, ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES, Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas, Consistent testing for non‐correlation of two cointegrated ARMA time series, Adjusting for confounders in cross-correlation analysis: an application to resting state networks, The asymptotic covariance matrix of the multivariate serial correlations, On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications, A New Test for Checking the Equality of the Correlation Structures of two time Series, CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS, On the identification of ARMA echelon-form models