Bartlett's formulae -- closed forms and recurrent equations

DOI10.1007/BF00049288zbMath0857.62090MaRDI QIDQ1817407

Georgi N. Boshnakov

Publication date: 1 December 1996

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

zbMATH Keywords

time seriesstationary processspectral densityautocorrelationsARMAasymptotic covariance matrixsample autocovariancesBartlett's formulafast computational algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• Time series: theory and methods.
• A simple form of Bartlett's formula for autoregressive processes
• Some efficient computational procedures for high order ARMA models
• Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation
• On the Asymptotic Distribution of the Autocorrelations of a Sample from a Linear Stochastic Process