Bartlett's formulae—Closed forms and recurrent equations |
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Authors: | Georgi N Boshnakov |
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Institution: | (1) Institute of Mathematics, Acad. G.Bonchev str., 8, 1113 Sofia, Bulgaria |
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Abstract: | We show that the entries of the asymptotic covariance matrix of the sample autocovariances and autocorrelations of a stationary process can be expressed in terms of the square of its spectral density. This leads to closed form expressions and fast computational algorithms.This research has been partly supported by contract No. MM 440/94 with the Bulgarian Ministry of Science and Education and by the Division of Quality Technology and Statistics, Luleå University, Sweden. |
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Keywords: | Bartlett's formula ARMA sample autocovariances sample autocorrelations |
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