Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/3304

 Title: Bartlett's formulae - closed forms and recurrent equations Authors: Boshnakov, Georgi N. Keywords: Bartlett’s formulaARMAsample autocovariancessample autocorrelationsComputer Stochastics Laboratory Issue Date: Nov-1994 Publisher: Institute of Mathematics with Computer Center at the Bulgarian Academy of Sciences Citation: Preprint Series/Report no.: 1994;9 Abstract: We show that the entries of the asymptotic covariance matrix of the sample autocovariances and autocorrelations of a stationary process can be expressed in terms of the square of its spectral density. This leads to closed form expressions and fast computational algorithms. Description: [Boshnakov Georgi N.; Бошнаков Георги Н.] URI: http://hdl.handle.net/10525/3304 Appears in Collections: Preprints

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