ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR

DOI10.1111/j.1467-842X.1991.tb00442.xzbMath0781.62139OpenAlexW1985561895MaRDI QIDQ4029927

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

cumulantsrecursive methodcentral momentsmoment generating functionsGaussian white noise processmean-corrected serial covariancesimplicit higher order resultstick-tack-toe zero-one matricestime series realisationverification by simulation

Mathematics Subject Classification ID

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

Related Items (3)

The Sampling Distribution of the Serial Correlation Coefficient ⋮ A note on scale mixtures of skew normal distribution ⋮ The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution

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