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 |
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Pages (from-to) | 251-258 |
Number of pages | 7 |
Journal | Stochastic Processes and their Applications |
Volume | 65 |
Issue number | 2 |
DOIs | |
Publication status | Published - 27 Dec 1996 |
Keywords
- Asymptotic distribution
- Bartlett's formula
- Multivariate ARMA
- Serial correlations
- Serial covariances
- Tensor convolution