ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR
- 1 September 1991
- journal article
- Published by Wiley in Australian Journal of Statistics
- Vol. 33 (3) , 373-396
- https://doi.org/10.1111/j.1467-842x.1991.tb00442.x
Abstract
Summary: Using a recursive method, we obtain all the cumulants, central moments, and moments about zero, up to order 4, for the mean‐corrected serial covariances from series realisations of length n, given a Gaussian white noise process. Some implicit higher order results are also derived.Keywords
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