The asymptotic covariance matrix of the multivariate serial correlations

Georgi N. Boshnakov

doi:10.1016/S0304-4149(96)00104-4

The asymptotic covariance matrix of the multivariate serial correlations

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	251-258
Number of pages	7
Journal	Stochastic Processes and their Applications
Volume	65
Issue number	2
DOIs	https://doi.org/10.1016/S0304-4149(96)00104-4
Publication status	Published - 27 Dec 1996

Keywords

Asymptotic distribution
Bartlett's formula
Multivariate ARMA
Serial correlations
Serial covariances
Tensor convolution

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10.1016/S0304-4149(96)00104-4

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title = "The asymptotic covariance matrix of the multivariate serial correlations",

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.",

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AB - 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.

KW - Asymptotic distribution

KW - Bartlett's formula

KW - Multivariate ARMA

KW - Serial correlations

KW - Serial covariances

KW - Tensor convolution

U2 - 10.1016/S0304-4149(96)00104-4

DO - 10.1016/S0304-4149(96)00104-4

M3 - Article

SN - 0304-4149

VL - 65

SP - 251

EP - 258

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

The asymptotic covariance matrix of the multivariate serial correlations

Abstract

Keywords

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