Bartlett's formulae -- closed forms and recurrent equations

DOI10.1007/BF00049288zbMATH Open0857.62090MaRDI QIDQ1817407FDOQ1817407

Authors 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 seriesARMAspectral densitystationary processsample autocovariancesBartlett's formulaasymptotic covariance matrixautocorrelationsfast 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)

Recommendations

• A simple form of Bartlett's formula for autoregressive processes
• Bartlett's formula for a general class of nonlinear processes
• On Bartlett’s Formula for Non‐linear Processes
• Multivariate versions of Bartlett's formula

Cites work

• scientific article; zbMATH DE number 3115405 (Why is no real title available?)
• scientific article; zbMATH DE number 4090570 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• A simple form of Bartlett's formula for autoregressive processes
• 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
• Some efficient computational procedures for high order ARMA models
• Time series: theory and methods.

Cited in

(8)

• 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
• Bartlett-type formulas for complex multivariate time series of mixed spectra
• The asymptotic covariance matrix of the multivariate serial correlations
• On the power of Portmanteau serial correlation tests
• Bartlett's formula for a general class of nonlinear processes
• On the asymptotic properties of multivariate sample autocovariances
• Closed Forms: What They Are and Why We Care

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