Asymptotic covariance structure of serial correlations in multivariate time series

DOI10.1093/biomet/76.4.824zbMath0678.62085OpenAlexW1980881398MaRDI QIDQ3834916

Roch Roy

Publication date: 1989

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/76.4.824

zbMATH Keywords

asymptotic covarianceBartlett's formulaserial correlationsasymptotic joint normalitymultivariate second- order stationary time series

Mathematics Subject Classification ID

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

Related Items (12)

CONSISTENT ESTIMATION OF THE ASYMPTOTIC COVARIANCE STRUCTURE OF MULTIVARIATE SERIAL CORRELATIONS ⋮ The asymptotic covariance matrix of the multivariate serial correlations ⋮ On the identification of ARMA echelon-form models ⋮ Testing for symmetric correlation matrices with applications to factor models ⋮ Tests for noncorrelation of two multivariate ARMA time series ⋮ Consistent testing for non‐correlation of two cointegrated ARMA time series ⋮ On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications ⋮ Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas ⋮ Adjusting for confounders in cross-correlation analysis: an application to resting state networks ⋮ ASYMPTOTIC RESULTS FOR PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ A New Test for Checking the Equality of the Correlation Structures of two time Series ⋮ Testing serial correlations in high-dimensional time series via extreme value theory

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