ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR

DOI10.1111/J.1467-842X.1991.TB00442.XMaRDI QIDQ4029927zbMATH OpenOpenAlexFDO

Authors Oliver D. Anderson

Publication date 1 April 1993

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

Full work available at URL https://doi.org/10.1111/j.1467-842x.1991.tb00442.x

zbMATH Keywords

central momentscumulantsrecursive methodmoment generating functionsGaussian white noise processmean-corrected serial covariancesimplicit higher order resultstick-tack-toe zero-one matricestime series realisationverification by simulation

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

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Cited in

(5)

• The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution
• A note on scale mixtures of skew normal distribution
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• EXACT GENERAL-LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW-LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
• The Sampling Distribution of the Serial Correlation Coefficient

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