Bartlett’s formula ARMA 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.
