The asymptotic covariance matrix of the multivariate serial correlations
From MaRDI portal
Publication:1382486
DOI10.1016/S0304-4149(96)00104-4zbMath0889.60014MaRDI QIDQ1382486
Publication date: 29 March 1998
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
60F05: Central limit and other weak theorems
Related Items
On the connection between Kronecker and Hadamard convolution products of matrices and some applications, On the asymptotic properties of multivariate sample autocovariances
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Inertia characteristics of self-adjoint matrix polynomials
- The asymptotic distribution of serial covariances
- Bartlett's formulae -- closed forms and recurrent equations
- Asymptotic covariance structure of serial correlations in multivariate time series
- Computation of the theoretical autocovariance function for a vector arma process
- Goodness-of-fit tests for autoregressive processes
- Vector Cross-Correlation in Time Series and Applications
- On Limit Theorems for Quadratic Functions of Discrete Time Series