Quenouille-type theorem on autocorrelations

DOI10.1007/BF00052323MaRDI QIDQ1373249zbMATH OpenOpenAlexFDO

Authors Simon F. Ku, Eugene Seneta

Publication date 18 November 1997

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00052323

zbMATH Keywords

Limit theoremsample autocorrelationssample partial autocorrelationsQuenouille's test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20)

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Cites work

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• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
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• A simple form of Bartlett's formula for autoregressive processes
• Current developments in time series modelling
• Goodness-of-fit for a branching process with immigration using sample partial autocorrelations
• Inference on superimposed subcritical Galton-Watson processes with immigration
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• On the general bilinear time series model
• On the parametrization of autoregressive models by partial autocorrelations
• Time series: theory and methods

Cited in

(4)

• Tests based on sample partial autocorrelations
• On optimal autocorrelation inequalities on the real line
• Limited distribution of sample partial autocorrelations: A matrix approach
• Goodness-of-fit tests for binomial AR(1) processes

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