A simple form of Bartlett's formula for autoregressive processes

Rolando Cavazos-Cadena

Statistics & Probability Letters, 1994, vol. 19, issue 3, 221-231

Abstract: An autoregressive process of finite order is considered. In this context it is shown that Bartlett's formula for the asymptotic covariance matrix B of a vector of sample autocorrelations reduces to a matrix product, and a recursive method for computing B is given.

Keywords: Autoregressive; processes; sample; autocorrelations; asymptotic; distribution; asymptotic; covariance; matrix; Bartlett's; formula; recursive; calculation; of; a; Bartlett; matrix (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (3)

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