HIGHER ORDER MOMENTS OF SAMPLE AUTOCOVARIANCES AND SAMPLE AUTOCORRELATIONS FROM AN INDEPENDENT TIME SERIES

Oliver D. Anderson and Zhao‐Guo Chen

Journal of Time Series Analysis, 1996, vol. 17, issue 4, 323-331

Abstract: Abstract. Given length‐n sampled time series, generated by an independent distributed process, in this paper we treat the problem of determining the greatest order, in n, that moments of the sample autocovariances and sample autocorrelations can attain. For the sample autocovariance moments, we achieve quite general results; but, for the autocorrelation moments, we restrict study to Gaussian white noise (normal, independent and identically distributed). Our main theorem relates to the cross‐moments of the non‐centred sample autocovariances, but we also establish a relation between these and the corresponding moments for the centred sample autocovariances.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1996.tb00280.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:17:y:1996:i:4:p:323-331

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 ().