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Distributions of the Sample Autocorrelations When Observations Are from a Stationary Autoregressive-Moving-Average Process

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  • Ali, Mukhtar M

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  • Ali, Mukhtar M, 1984. "Distributions of the Sample Autocorrelations When Observations Are from a Stationary Autoregressive-Moving-Average Process," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 271-278, July.
    • Handle: RePEc:bes:jnlbes:v:2:y:1984:i:3:p:271-78
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    Cited by:

    1. Dong Ding & Axel Gandy & Georg Hahn, 2020. "A simple method for implementing Monte Carlo tests," Computational Statistics, Springer, vol. 35(3), pages 1373-1392, September.
    2. Kan, Raymond & Wang, Xiaolu, 2010. "On the distribution of the sample autocorrelation coefficients," Journal of Econometrics, Elsevier, vol. 154(2), pages 101-121, February.
    3. Sneek, J.M., 1991. "Approximating the distribution of sample autocorrelations of some ARIMA processes in O(n) operations," Serie Research Memoranda 0022, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    4. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2022. "Data-driven portmanteau tests for time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 675-698, September.
    5. Sneek, J.M. & Smits, J., 1990. "An approximation to the distribution of quadratic forms in many normal variables," Serie Research Memoranda 0049, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    6. Paolella, Marc S., 2003. "Computing moments of ratios of quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 313-331, March.
    7. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027.

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