The correlation structure of the sample autocovariance function for a particular class of time series with elliptically contoured distribution

Marc G. Genton

Statistics & Probability Letters, 1999, vol. 41, issue 2, 131-137

Abstract: In the context of time series, the classical estimator of the autocovariance function can be written as a quadratic form of the observations. If data have an elliptically contoured distribution with constant mean, then the correlation between the sample autocovariance function at two different lags is a function of the time design matrix and the covariance matrix of the process. When data have a regular support, an explicit formula for this correlation is available for a particular family of covariance matrices. Surprisingly, this correlation structure is exactly the same as the one for a Gaussian white noise.

Keywords: Time; series; Dependent; data; Autocovariance; Multivariate; distribution; Kurtosis (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (4)

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