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Title: Bartlett's formulae - closed forms and recurrent equations
Authors: Boshnakov, Georgi N.
Keywords: Bartlett’s formula
sample autocovariances
sample autocorrelations
Computer 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.]
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