ESTIMATING VARIANCES AND COVARIANCES OF SAMPLE AUTOCORRELATIONS AND AUTOCOVARIANCES

DOI10.1111/J.1467-842X.1977.TB01091.XzbMATH Open0417.62067MaRDI QIDQ3207953FDOQ3207953

Authors: Peter M. Robinson 

Publication date: 1977

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Cited In (8)

• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
• Sur un test d'égalité des autocovariances de deux séries chronologiques
• Bootstrap estimates of the sample bivariate autocorrelation and partial autocorrelation distributions
• Covariance matrix estimation for estimators of mixing weak ARMA models
• CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS
• Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
• Estimating linear representations of nonlinear processes
• On confidence intervals and tests for autocorrelations

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