The asymptotic covariance matrix of the multivariate serial correlations

Georgi N. Boshnakov

Stochastic Processes and their Applications, 1996, vol. 65, issue 2, 251-258

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.

Keywords: Asymptotic; distribution; Multivariate; ARMA; Serial; covariances; Serial; correlations; Bartlett's; formula; Tensor; convolution (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (1)

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