Hassani, Hossein - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1601-1606
It is shown that the sum of the sample autocorrelation function at lag h≥1 is always −12 for any stationary time series with arbitrary length T≥2 (Hassani, 2009 [1]). In this paper, the distribution of a set of the sample autocorrelation function using the properties of this quantity is...