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A simple form of Bartlett's formula for autoregressive processes

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  • Cavazos-Cadena, Rolando

Abstract

An autoregressive process of finite order is considered. In this context it is shown that Bartlett's formula for the asymptotic covariance matrix B of a vector of sample autocorrelations reduces to a matrix product, and a recursive method for computing B is given.

Suggested Citation

  • Cavazos-Cadena, Rolando, 1994. "A simple form of Bartlett's formula for autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 221-231, February.
    • Handle: RePEc:eee:stapro:v:19:y:1994:i:3:p:221-231
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    Citations

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    Cited by:

    1. Georgi Boshnakov, 1996. "Bartlett's formulae—Closed forms and recurrent equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(1), pages 49-59, March.
    2. Simon Ku & Eugene Seneta, 1996. "Quenouille-type theorem on autocorrelations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(4), pages 621-630, December.
    3. Vicky Fasen, 2016. "Dependence Estimation for High-frequency Sampled Multivariate CARMA Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 292-320, March.

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