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Approximating the distribution of sample autocorrelations of some ARIMA processes in O(n) operations

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  • Sneek, J.M.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

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  • 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.
    • Handle: RePEc:vua:wpaper:1991-22
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    File URL: http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/19910022.pdf
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    References listed on IDEAS

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    1. Evans, G B A & Savin, N E, 1984. "Testing for Unit Roots: 2," Econometrica, Econometric Society, vol. 52(5), pages 1241-1269, September.
    2. Satchell, Stephen Ellwood, 1984. "Approximation to the Finite Sample Distribution for Nonstable First Order Stochastic Difference Equations," Econometrica, Econometric Society, vol. 52(5), pages 1271-1289, September.
    3. 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.
    4. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
    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. R. W. Farebrother, 1990. "The Distribution of a Quadratic Form in Normal Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(2), pages 294-309, June.
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