Asymptotic second-order properties of sample partial correlations

DOI10.1109/ASSP.1989.28069MaRDI QIDQ3827441zbMATH OpenOpenAlexFDO

Authors Petre Stoica

Publication date 1989

Published in IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/assp.1989.28069

zbMATH Keywords

general stationary processmixed autoregressive moving-average (ARMA) processessecond-order moments

Mathematics Subject Classification ID

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

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• Inference for partial correlations of a multivariate Gaussian time series
• Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample

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