Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes (Q1339766)
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scientific article; zbMATH DE number 700385
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| English | Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes |
scientific article; zbMATH DE number 700385 |
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Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes (English)
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8 December 1994
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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.
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asymptotic covariance matrix
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sample autocorrelations
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\(\text{ARMA}(p,q)\) process
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