EXACT GENERAL‐LAG SERIAL CORRELATION MOMENTS AND APPROXIMATE LOW‐LAG PARTIAL CORRELATION MOMENTS FOR GAUSSIAN WHITE NOISE
- 1 November 1993
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 14 (6) , 551-574
- https://doi.org/10.1111/j.1467-9892.1993.tb00166.x
Abstract
Given series realizations of lengthngenerated by a Gaussian white noise process, we use formulae for the moments about zero of the serial covariances to obtain all the non‐centred and central moments up to order 4 for, first, the serial correlations exactly (all lags) and, then, the low‐lag partial correlations approximately (mainly to O(n‐3)). The results agree with empirical values obtained by simulation forn= 100.Keywords
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