On Bartlett’s Formula for Non‐linear Processes

DOI10.1111/1467-9892.00067zbMath0910.62081OpenAlexW2144427864MaRDI QIDQ4379708

Alain F. Berlinet, Christian Francq

Publication date: 22 April 1999

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00067

zbMATH Keywords

consistent estimatessample autocovariancesasymptotic covarianceBartlett's formulamixing processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (8)

Covariance matrix estimation for estimators of mixing weak ARMA models ⋮ Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model ⋮ Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas ⋮ Bartlett's formula for a general class of nonlinear processes ⋮ Aggregation and systematic sampling of periodic ARMA processes ⋮ Multivariate versions of Bartlett's formula ⋮ Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models ⋮ Goodness-of-fit tests for binomial AR(1) processes

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