Approximate moments to O(n^-2) for the sampled partial autocorrelations from a white noise process

DOI10.1016/0167-9473(93)90157-OzbMATH Open0937.62642OpenAlexW2065268060MaRDI QIDQ1361564FDOQ1361564

Authors: Oliver D. Anderson 

Publication date: 31 August 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(93)90157-o

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zbMATH Keywords

simulationtime seriesorder of errorPitman's theoremdurbin's recursion formulaserial correlation moments

Mathematics Subject Classification ID

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

Cites Work

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• On the parametrization of autoregressive models by partial autocorrelations
• Some robust exact results on sample autocorrelations and tests of randomness
• Corrigendum to: ``Some robust exact results on sample autocorrelations and tests of randomness
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• The Fitting of Time-Series Models
• Generalized portmanteau statistics and tests of randomness
• THE APPROXIMATE DISTRIBUTION OF SERIAL CORRELATION COEFFICIENTS
• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
• Rank correlation and product-moment correlation
• Title not available (Why is that?)
• Significance levels of the Box-Pierce portmanteau statistic in finite samples
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
• Testing for serial correlation with exponentially distributed variates
• An angular transformation for the serial correlation coefficient
• PARTIAL AUTOCORRELATION PROPERTIES FOR NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS
• The Joint Distribution of Serial Correlation Coefficients

Cited In (7)

• Asymptotic second-order properties of sample partial correlations
• An approximation to the distribution of the autocorrelation coefficient
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• Moments of the sampled space-time autocovariance and autocorrelation function
• 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
• Approximation and simulation of probability distributions with a variable kurtosis value

Uses Software

• IMSL Numerical Libraries
• LLRANDOM

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