Multivariate versions of Bartlett's formula

DOI10.1016/j.jmva.2011.08.008zbMath1234.60039OpenAlexW2001221487MaRDI QIDQ764471

Nan Su, Robert B. Lund

Publication date: 13 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.08.008

zbMATH Keywords

asymptotic normalitysample autocorrelationsmultivariate stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Uses Software

• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Asymptotic properties of serial covariances for nonlinear stationary processes
• The asymptotic distribution of serial covariances
• Bartlett's formula for a general class of nonlinear processes
• Inference For Autocorrelations Under Weak Assumptions
• On Bartlett’s Formula for Non‐linear Processes
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
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