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

DOI10.1016/J.SPL.2012.05.007MaRDI QIDQ452867zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1446720 (Why is no real title available?)
• Inference For Autocorrelations Under Weak Assumptions
• Time series: theory and methods.

Cited in

(1)

• scientific article; zbMATH DE number 4178491 (Why is no real title available?)

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