Limited distribution of sample partial autocorrelations: A matrix approach

DOI10.1016/S0304-4149(97)00048-3zbMath0935.62098OpenAlexW2007170661MaRDI QIDQ1965890

Simon F. Ku

Publication date: 1 March 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00048-3

zbMATH Keywords

non-stationaritysample autocorrelationssample partial autocorrelationsautoregressive moving-average processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Tests based on sample partial autocorrelations

Cites Work

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