Search Results - subject:"Sample autocorrelations"

Did you mean: subject:"sample autocorrelation" (12 results)

Multivariate versions of Bartlett’s formula

Su, Nan; Lund, Robert - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 18-31

This paper quantifies the form of the asymptotic covariance matrix of the sample autocovariances in a multivariate stationary time series—the classic Bartlett formula. Such quantification is useful in many statistical inferences involving autocovariances. While joint asymptotic normality of...

Persistent link: https://www.econbiz.de/10011041943

Quenouille-type theorem on autocorrelations

Ku, Simon; Seneta, Eugene - In: Annals of the Institute of Statistical Mathematics 48 (1996) 4, pp. 621-630

Persistent link: https://www.econbiz.de/10005169193

Bartlett's formulae—Closed forms and recurrent equations

Boshnakov, Georgi - In: Annals of the Institute of Statistical Mathematics 48 (1996) 1, pp. 49-59

Persistent link: https://www.econbiz.de/10005169259