Consistent estimation of the asymptotic covariance structure of multivariate serial correlation

Guy Melard, Marianne Paesmans and Roch Roy

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: Abstract. A method is proposed for estimating, in a consistent way, the asymptotic covariance structure of serial correlations for a multivariate second‐order stationary process. To obtain a consistent estimator of this structure, which is also of the non‐negative definite type, results relative to the scalar case are generalized. The method consists in weighting appropriately the elements of the sample autocorrelation matrices in a generalization of Bartlett's formula so that the estimator converges in probability. Several useful applications of the results of the paper are mentioned. Copyright © 1991, Wiley Blackwell. All rights reserved

Keywords: asymptotic covariance; consistent estimator; Multivariate time series; non‐negative definiteness; serial correlation (search for similar items in EconPapers)
Date: 1991
Note: SCOPUS: ar.j
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Citations: View citations in EconPapers (2)

Published in: Journal of Time Series Analysis (1991) v.12 n° 4,p.351-361

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