asymptotic distribution multivariate ARMA serial covariances serial correlations Bartlett’s formula tensor convolution Computer 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.
