The asymptotic distribution of sample autocorrelations for a class of linear filters

DOI10.1006/JMVA.1994.1005zbMATH Open0795.62084OpenAlexW2160825612MaRDI QIDQ1319954FDOQ1319954

Authors: Rolando Cavazos-Cadena 

Publication date: 21 April 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1994.1005

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zbMATH Keywords

stationary time seriesBartlett formulafiltering weightssample autocorrelation functionssquared integrablesquared integrable spectral densitysquared summable filters

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10)

Cited In (3)

• Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes
• Joint asymptotic distributions of sample autocorrelations for time series of martingale differ\-ences
• On optimal autocorrelation inequalities on the real line

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