A note on the sum of the sample autocorrelation function

Hossein Hassani

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 8, 1601-1606

Abstract: It is shown that the sum of the sample autocorrelation function at lag h≥1 is always −12 for any stationary time series with arbitrary length T≥2 (Hassani, 2009 [1]). In this paper, the distribution of a set of the sample autocorrelation function using the properties of this quantity is considered. It is found that the distribution of a set of the sample autocorrelation estimates is not independent and identically distributed. This finding implies that the result of diagnostic check and model building using the traditional assumption of iid can be quite misleading.

Keywords: Sample autocorrelation function; Stationary process; Diagnostic check; Approximate test for autocorrelation (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437109010644
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:eee:phsmap:v:389:y:2010:i:8:p:1601-1606

DOI: 10.1016/j.physa.2009.12.050

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().