Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/3311

 Title: The asymptotic covariance matrix of multivariate serial correlations Authors: Boshnakov, Georgi N. Keywords: asymptotic distributionmultivariate ARMAserial covariancesserial correlationsBartlett’s formulatensor convolutionComputer Stochastics Laboratory Issue Date: Apr-1995 Publisher: Institute of Mathematics with Computer Center at the Bulgarian Academy of Sciences Citation: Preprint Series/Report no.: 1995;7 Abstract: We show that the entries of the asymptotic covariance matrix of the serial covariances and serial correlations of a multivariate stationary process can be expressed in terms of the autocovariances corresponding to the tensor square of its spectral density. The tensor convolution introduced in the paper may be of some interest on its own. Description: [Boshnakov Georgi N.; Бошнаков Георги Н.] URI: http://hdl.handle.net/10525/3311 Appears in Collections: Preprints

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