Limited distribution of sample partial autocorrelations: A matrix approach

DOI10.1016/S0304-4149(97)00048-3zbMath0935.62098MaRDI QIDQ1965890

Simon F. Ku

Publication date: 1 March 2000

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

non-stationarity; sample autocorrelations; sample partial autocorrelations; autoregressive moving-average processes

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

Related Items

Tests based on sample partial autocorrelations

Cites Work

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