Quenouille-type theorem on autocorrelations

DOI10.1007/BF00052323zbMATH Open1121.62536OpenAlexW2042195028MaRDI QIDQ1373249FDOQ1373249

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

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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)

Cites Work

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• A Large-Sample Test for the Goodness of Fit of Autoregressive Schemes
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• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
• Inference on superimposed subcritical Galton-Watson processes with immigration
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• Goodness-of-fit for a branching process with immigration using sample partial autocorrelations
• A simple form of Bartlett's formula for autoregressive processes
• A derivation of the asymptotic distribution of the partial autocorrelation function of an autoregressive process
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

Cited In (4)

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

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