BulDML at Institute of Mathematics and Informatics >
IMI Periodicals >
Preprints >

Please use this identifier to cite or link to this item:

Title: The asymptotic covariance matrix of multivariate serial correlations
Authors: Boshnakov, Georgi N.
Keywords: 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.
Description: [Boshnakov Georgi N.; Бошнаков Георги Н.]
Appears in Collections:Preprints

Files in This Item:

File Description SizeFormat
P-1995-07.pdf5.39 MBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Valid XHTML 1.0!   Creative Commons License