Sampled autocovariance and autocorrelation results for linear time processes

DOI10.1080/03610918808812676MaRDI QIDQ3471560zbMATH OpenOpenAlexFDO

Authors Oliver D. Anderson, Jan G. De Gooijer

Publication date 1988

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918808812676

zbMATH Keywords

ARIMAARMAARUMA modelsBartlett approximationmoments of serial correlationsTaylor expansions

Mathematics Subject Classification ID

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

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Cites work

• Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Sample moments of the autocorrelations of moving average processes and a modification to bartlett'sasymptotic variance formula
• Some robust exact results on sample autocorrelations and tests of randomness

Cited in

(22)

• Some robust exact results on sample autocorrelations and tests of randomness
• The serial correlation structure for a random process with steps
• Discriminating between nonstationary and nearly nonstationary time series models: A simulation study
• The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution
• Convergence of the clipped sample autocorrelation and autocovariance
• The asymptotic distribution of sample autocorrelations for a class of linear filters
• The sample ACF of a simple bilinear process
• More effective time-series analysis and forecasting
• Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions
• Autocovariance functions of series and of their transforms
• scientific article; zbMATH DE number 3846713 (Why is no real title available?)
• Small-sample Autocorrelation Structure for Long-memory Time Series
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• Moments of the sampled space-time autocovariance and autocorrelation function
• scientific article; zbMATH DE number 3954110 (Why is no real title available?)
• Some exact results on the sample autocovariances of a seasonal ARIMA model
• Higher order approximations for autocovariances from linear processes with applications
• scientific article; zbMATH DE number 566077 (Why is no real title available?)
• HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES
• scientific article; zbMATH DE number 846027 (Why is no real title available?)
• On Bartlett's test for correlation between time series.
• SPC for short-run multivariate autocorrelated processes

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