EXACT GENERAL‐LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW‐LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE

Oliver D. Anderson

Journal of Time Series Analysis, 1993, vol. 14, issue 6, 551-574

Abstract: Abstract. Given series realizations of length n generated by a Gaussian white noise process, we use formulae for the moments about zero of the serial covariances to obtain all the non‐centred and central moments up to order 4 for, first, the serial correlations exactly (all lags) and, then, the low‐lag partial correlations approximately (mainly to O(n‐3)). The results agree with empirical values obtained by simulation for n= 100.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1993.tb00166.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:14:y:1993:i:6:p:551-574

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().