Bartlett's formulae -- closed forms and recurrent equations
DOI10.1007/BF00049288zbMATH Open0857.62090MaRDI QIDQ1817407FDOQ1817407
Publication date: 1 December 1996
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Recommendations
time seriesARMAspectral densitystationary processsample autocovariancesBartlett's formulaasymptotic covariance matrixautocorrelationsfast computational algorithms
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Time series: theory and methods.
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- On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process
- Some efficient computational procedures for high order ARMA models
- Title not available (Why is that?)
- Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation
- A simple form of Bartlett's formula for autoregressive processes
Cited In (7)
- Computing moments of ratios of quadratic forms in normal variables
- A robust whiteness test for the identification of discrete-time linear models: use of orthonormal transfer functions
- Closed Forms: What They Are and Why We Care
- On the power of Portmanteau serial correlation tests
- Bartlett-type formulas for complex multivariate time series of mixed spectra
- The asymptotic covariance matrix of the multivariate serial correlations
- On the asymptotic properties of multivariate sample autocovariances
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