The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution
From MaRDI portal
Publication:1272998
DOI10.1016/S0167-7152(98)00129-1zbMath0909.62080MaRDI QIDQ1272998
Publication date: 8 April 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items
Nonparametric variogram and covariogram estimation with Fourier-Bessel matrices, Spatial circulants, with applications, A note on scale mixtures of skew normal distribution, Moments of skew-normal random vectors and their quadratic forms
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Some robust exact results on sample autocorrelations and tests of randomness
- Corrigendum to: ``Some robust exact results on sample autocorrelations and tests of randomness
- Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
- Sampled autocovariance and autocorrelation results for linear time processes
- Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
- ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR
- EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
- HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES
