Francq, Christian; Zakoïan, Jean-Michel - In: Journal of Time Series Analysis 30 (2009) 4, pp. 449-465
A Bartlett-type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear...