The perils of inferring serial dependence from sample autocorrelations of moving average series

DOI10.1016/J.SPL.2012.05.007zbMATH Open1335.62138OpenAlexW2027791079MaRDI QIDQ452867FDOQ452867

Authors: Tucker McElroy 

Publication date: 18 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.05.007

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zbMATH Keywords

time serieswhite noiseBox-Jenkinsspurious correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Time series: theory and methods.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Inference For Autocorrelations Under Weak Assumptions

Cited In (1)

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