Jones, Christopher S.; Pomorski, Lukasz Investing in disappearing anomalies. (English) Zbl 1402.91707 Rev. Finance 21, No. 1, 237-267 (2017). MSC: 91G10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Shumway, Robert H.; Stoffer, David S. Time series analysis and its applications. With R examples. 4th edition. (English) Zbl 1367.62004 Springer Texts in Statistics. Cham: Springer (ISBN 978-3-319-52451-1/pbk; 978-3-319-52452-8/ebook). xiii, 562 p. (2017). Reviewer: Hans-Jürgen Schmidt (Potsdam) MSC: 62-01 62M10 62-04 62M20 62P12 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Su, Nan; Lund, Robert Multivariate versions of Bartlett’s formula. (English) Zbl 1234.60039 J. Multivariate Anal. 105, No. 1, 18-31 (2012). MSC: 60G10 60F05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Shumway, Robert H.; Stoffer, David S. Time series analysis and its applications. With R examples. 3rd revised ed. (English) Zbl 1276.62054 Springer Texts in Statistics. New York, NY: Springer (ISBN 978-1-4419-7864-6/hbk; 978-1-4419-7865-3/ebook; 978-1-4614-2759-9/pbk). xi, 596 p. (2011). Reviewer: Irina Ioana Mohorianu (Norwich) MSC: 62M10 62-04 62M20 62-01 62-07 62Pxx 65C05 × Cite Format Result Cite Review PDF
Francq, Christian; Zakoïan, Jean-Michel Bartlett’s formula for a general class of nonlinear processes. (English) Zbl 1224.62054 J. Time Ser. Anal. 30, No. 4, 449-465 (2009). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 62M10 62F12 62P05 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Lee, Jaechoul; Ko, Kyungduk First-order bias correction for fractionally integrated time series. (English) Zbl 1177.62109 Can. J. Stat. 37, No. 3, 476-493 (2009). MSC: 62M10 65C60 62P12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hwang, S. Y.; Baek, J. S. Asymptotic variance-covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes. (English) Zbl 1278.62144 Statistics 43, No. 1, 35-51 (2009). MSC: 62M10 62G20 × Cite Format Result Cite Review PDF Full Text: DOI
Hwang, S. Y.; Baek, J. S.; Lim, K. E. Joint asymptotic distributions of sample autocorrelations for time series of martingale differences. (English) Zbl 1107.62091 J. Korean Stat. Soc. 35, No. 4, 453-458 (2006). MSC: 62M10 62E20 × Cite Format Result Cite Review PDF
Wang, Qiying; Lin, Yan-Xia; Gulati, Chandra Asymptotics for general nonstationary fractionally integrated processes without prehistoric influence. (English) Zbl 1038.60022 J. Appl. Math. Decis. Sci. 6, No. 4, 255-269 (2002). Reviewer: Zdzislaw Rychlik (Lublin) MSC: 60F17 60K99 × Cite Format Result Cite Review PDF Full Text: DOI EuDML
Berlinet, Alain; Francq, Christian Estimation of asymptotic covariances of empirical autovariances and autocorrelations of multivariate processes. (Estimation du comportement asymptotique des autocovariances et autocorrélations empiriques de processus multivariés.) (French) Zbl 0946.62081 Can. J. Stat. 27, No. 3, 525-546 (1999). MSC: 62M10 62F12 × Cite Format Result Cite Review PDF Full Text: DOI
Ku, Simon F. Limited distribution of sample partial autocorrelations: A matrix approach. (English) Zbl 0935.62098 Stochastic Processes Appl. 72, No. 1, 121-143 (1997). Reviewer: J. Anděl (Praha) MSC: 62M10 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Cicchitelli, Giuseppe; Montanari, Giorgio E. The kriging predictor for spatial finite population inference. (English) Zbl 0901.62017 Metron 55, No. 1-2, 39-57 (1997). MSC: 62D05 62H11 × Cite Format Result Cite Review PDF
Hassler, U. Sample autocorrelations of nonstationary fractionally integrated series. (English) Zbl 0883.62022 Stat. Pap. 38, No. 1, 43-62 (1997). MSC: 62E20 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Kwan, Andy C. C.; Sim, Ah-Boon Portmanteau tests of randomness and Jenkins’ variance-stabilizing transformation. (English) Zbl 0900.90163 Econ. Lett. 50, No. 1, 41-49 (1996). MSC: 91B82 62P20 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
He, Shuyuan A note on the asymptotic normality of sample autocorrelations for a linear stationary sequence. (English) Zbl 0859.62079 J. Multivariate Anal. 58, No. 2, 182-188 (1996). Reviewer: J.Anděl (Praha) MSC: 62M10 60B12 60F05 60G10 × Cite Format Result Cite Review PDF Full Text: DOI
Boshnakov, Georgi N. Bartlett’s formulae – closed forms and recurrent equations. (English) Zbl 0857.62090 Ann. Inst. Stat. Math. 48, No. 1, 49-59 (1996). MSC: 62M15 62M10 62E20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Anderson, Oliver D.; Chen, Zhao-Guo Higher order moments of sample autocovariances and sample autocorrelations from an independent time series. (English) Zbl 0858.62073 J. Time Ser. Anal. 17, No. 4, 323-331 (1996). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Hosking, Jonathan R. M. Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series. (English) Zbl 0854.62084 J. Econom. 73, No. 1, 261-284 (1996). MSC: 62M10 62E20 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Ku, Simon; Seneta, Eugene Quenouille-type theorem on autocorrelations. (English) Zbl 1121.62536 Ann. Inst. Stat. Math. 48, No. 4, 621-630 (1996). MSC: 62E20 62M10 62M99 × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Sangyeol Sequential estimation for the autocorrelations of linear processes. (English) Zbl 0898.62099 Ann. Stat. 24, No. 5, 2233-2249 (1996). MSC: 62L12 62M10 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Anderson, Oliver D. More effective time-series analysis and forecasting. (English) Zbl 0847.62073 J. Comput. Appl. Math. 64, No. 1-2, 117-147 (1995). MSC: 62M10 62M20 × Cite Format Result Cite Review PDF Full Text: DOI
Lee, Y. H.; Cho, S.; Kim, W. C.; Park, B. U. On estimating integrated squared spectral density derivatives. (English) Zbl 0838.62086 J. Stat. Plann. Inference 48, No. 2, 165-184 (1995). MSC: 62M15 62G07 62G20 × Cite Format Result Cite Review PDF Full Text: DOI
Chan, Wai-Sum Understanding the effect of time series outliers on sample autocorrelations. (English) Zbl 0839.62084 Test 4, No. 1, 179-186 (1995). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Song, Wheyming Tina; Schmeiser, Bruce W. Optimal mean-squared-error batch sizes. (English) Zbl 0819.62076 Manage. Sci. 41, No. 1, 110-123 (1995). MSC: 62M10 62N99 62M09 65C99 × Cite Format Result Cite Review PDF Full Text: DOI
Chan, Wai-sum Time series outliers and spurious autocorrelations. (English) Zbl 0873.62089 J. Appl. Stat. Sci. 2, No. 2, 153-162 (1995). MSC: 62M10 × Cite Format Result Cite Review PDF
Sutradhar, Brajendra C. Moments of the sampled autocovariances and autocorrelations for a general Gaussian process. (English) Zbl 0835.62082 Sankhyā, Ser. B 56, No. 2, 272-285 (1994). MSC: 62M10 62H10 62E15 × Cite Format Result Cite Review PDF
Hwang, Sun Young; Basawa, I. V.; Reeves, J. The asymptotic distributions of residual autocorrelations and related tests of fit for a class of nonlinear time series models. (English) Zbl 0823.62018 Stat. Sin. 4, No. 1, 107-125 (1994). MSC: 62E20 62M10 × Cite Format Result Cite Review PDF
Cavazos-Cadena, Rolando Computing the asymptotic covariance matrix of a vector of sample autocorrelations for ARMA processes. (English) Zbl 0807.65145 Appl. Math. Comput. 64, No. 2-3, 121-137 (1994). Reviewer: J.Wolters (Berlin) MSC: 65C99 65F30 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Hassler, U. The sample autocorrelation function of \(I(1)\) processes. (English) Zbl 0803.62081 Stat. Pap. 35, No. 1, 1-16 (1994). MSC: 62M10 60G50 × Cite Format Result Cite Review PDF Full Text: DOI
Cavazos-Cadena, Rolando A simple form of Bartlett’s formula for autoregressive processes. (English) Zbl 0791.62086 Stat. Probab. Lett. 19, No. 3, 221-231 (1994). MSC: 62M10 62E20 65C99 × Cite Format Result Cite Review PDF Full Text: DOI
Höglund, R.; Östermark, R. Modelling VARMAX-processes by extended sample autocorrelation and linear regression techniques. (English) Zbl 0810.62081 Niemi, H. (ed.) et al., Proceedings of the Third Finnish-Soviet symposium on probability theory and mathematical statistics. Turku, Finland, August 13-16, 1991. Utrecht: VSP. Front. Pure Appl. Probab. 1, 68-85 (1993). MSC: 62M10 65C99 × Cite Format Result Cite Review PDF
Bierens, Herman J. Higher-order sample autocorrelations and the unit root hypothesis. (English) Zbl 0776.62065 J. Econom. 57, No. 1-3, 137-160 (1993). MSC: 62M10 62E20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Dawei Uniform convergence rates for two-parameter martingales with application to stationary random fields. (English) Zbl 0759.60053 Acta Sci. Nat. Univ. Pekin. 28, No. 3, 291-302 (1992). MSC: 60G48 60G60 60F99 × Cite Format Result Cite Review PDF
Cumby, Robert E.; Huizinga, John Testing the autocorrelation structure of disturbances in ordinary least squares and instrumental variables regressions. (English) Zbl 0743.62080 Econometrica 60, No. 1, 185-195 (1992). MSC: 62M10 62P20 62J05 62E20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Rao, C. Radhakrishna Sample surveys and design of experiments: need for interface between the two. (English) Zbl 0896.62011 Sankhyā, Ser. A 54, Spec. Vol., 359-366 (1992). MSC: 62D05 62K10 × Cite Format Result Cite Review PDF
Mills, T. M.; Seneta, E. Independence of partial autocorrelations for a classical immigration branching process. (English) Zbl 0736.62069 Stochastic Processes Appl. 37, No. 2, 275-279 (1991). Reviewer: J.D.Biggins (Sheffield) MSC: 62M02 60J80 × Cite Format Result Cite Review PDF Full Text: DOI
Mélard, Guy Méthodes numériques dans la modélisation de séries chronologiques. (Numerical methods in time series modelling). (French) Zbl 0697.62088 Cah. Cent. Étud. Rech. Opér. 32, No. 1-3, 153-180 (1990). MSC: 62M10 65C99 × Cite Format Result Cite Review PDF
Latour, Alain; Roy, Roch Distribution asymptotique des autocorrélations d’un processus saisonnier non stationnaire. (Asymptotic distribution of the autocorrelations of a nonstationary seasonal process). (French) Zbl 0694.62009 Can. J. Stat. 17, No. 4, 399-417 (1989). MSC: 62E20 62M10 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Mills, T. M.; Seneta, E. Goodness-of-fit for a branching process with immigration using sample partial autocorrelations. (English) Zbl 0682.62057 Stochastic Processes Appl. 33, No. 1, 151-161 (1989). MSC: 62M07 62M02 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Dawei Convergence rate of sample autocorrelations and autocovariances for stationary time series. (English) Zbl 0664.62092 Sci. Sin., Ser. A 31, No. 4, 406-424 (1988). MSC: 62M10 60F05 60F15 60G10 × Cite Format Result Cite Review PDF
Tanaka, Minoru Estimation of the autocorrelation coefficients in a stationary lognormal process. (English) Zbl 0651.62085 J. Jpn. Stat. Soc. 17, 137-148 (1987). MSC: 62M09 62M10 × Cite Format Result Cite Review PDF
Latour, Alain; Roy, Roch Some exact results on the sample autocovariances of a seasonal ARIMA model. (English) Zbl 0632.62090 Can. J. Stat. 15, No. 3, 283-291 (1987). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Mélard, Guy; Roy, Roch On confidence intervals and tests for autocorrelations. (English) Zbl 0605.62093 Comput. Stat. Data Anal. 5, 31-44 (1987). MSC: 62M10 65C99 62M07 × Cite Format Result Cite Review PDF Full Text: DOI Link
Dufour, Jean-Marie; Roy, Roch L’echangéabilité en séries chronologiques: Quelques résultats exacts sur les autocorrélations et les statistiques portemanteau. (Exchangeability in time-series: Some exact results on autocorrelations and portemanteau statistics). (French) Zbl 0624.62085 Cah. Cent. Étud. Rech. Opér. 28, 19-39 (1986). Reviewer: E.J.Hannan MSC: 62M10 62E15 62F03 62G30 × Cite Format Result Cite Review PDF
Dufour, Jean-Marie; Roy, Roch Generalized portmanteau statistics and tests of randomness. (English) Zbl 0602.62075 Commun. Stat., Theory Methods 15, 2953-2972 (1986). MSC: 62M10 62F03 62G10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Dufour, Jean-Marie; Roy, Roch Some robust exact results on sample autocorrelations and tests of randomness. (English) Zbl 0589.62080 J. Econom. 29, 257-273 (1985). MSC: 62M10 62E15 65C05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yajima, Yoshihiro Asymptotic properties of the sample autocorrelations and partial autocorrelations of a multiplicative ARIMA process. (English) Zbl 0573.62085 J. Time Ser. Anal. 6, 187-201 (1985). Reviewer: H.Hietikko MSC: 62M10 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
An, Hongzhi; Gu, Lan Estimation of the parameters of ARMA processes by using sample autocorrelations. (Chinese. English summary) Zbl 0569.62074 Acta Math. Appl. Sin. 8, 52-60 (1985). MSC: 62M10 62F12 62E20 × Cite Format Result Cite Review PDF
Tsay, Ruey S.; Tiao, George C. Consistent estimates of autoregressive parameters and extended sample autocorrelation function for stationary and nonstationary ARMA models. (English) Zbl 0537.62071 J. Am. Stat. Assoc. 79, 84-96 (1984). Reviewer: M.A.Mirzahmedov MSC: 62M10 93E12 × Cite Format Result Cite Review PDF Full Text: DOI
Hannan, E. J.; Kavalieris, L. The convergence of autocorrelations and autoregressions. (English) Zbl 0558.62081 Aust. J. Stat. 25, 287-297 (1983). Reviewer: M.Hallin MSC: 62M10 62F12 60G12 × Cite Format Result Cite Review PDF Full Text: DOI
McLeod, A. I.; Li, W. K. Diagnostic checking ARMA time series models using squared-residual autocorrelations. (English) Zbl 0536.62067 J. Time Ser. Anal. 4, 269-273 (1983). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Sneek, J. M. Some approximations to the exact distribution of sample autocorrelations for autoregressive moving average models. (English) Zbl 0513.62022 Time series analysis: theory and practice 3, Proc. int. Forecasting Conf., Valencia/Spain 1982, 265-289 (1983). MSC: 62E20 62M10 × Cite Format Result Cite Review PDF
Kabaila, Paul On estimating time series parameters using sample autocorrelations. (English) Zbl 0505.62078 J. R. Stat. Soc., Ser. B 45, 107-119 (1983). MSC: 62M10 62M09 × Cite Format Result Cite Review PDF
Risager, Folmer Model checking of simple correlated autoregressive processes. (English) Zbl 0496.62077 Scand. J. Stat., Theory Appl. 8, 137-153 (1981). MSC: 62M10 × Cite Format Result Cite Review PDF
Findley, David F. Large-sample behavior of the S-array of seasonally non-stationary ARMA series. (English) Zbl 0488.62068 Time series analysis, Proc. int. Conf., Houston/Tex. 1980, 163-169 (1981). MSC: 62M10 × Cite Format Result Cite Review PDF
Milhoj, Anders A test of fit in time series models. (English) Zbl 0459.62079 Biometrika 68, 177-187 (1981). MSC: 62M10 62E20 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
de Gooijer, J. G. An investigation of the moments of the sample autocovariances and autocorrelations for general ARMA processes. (English) Zbl 0457.62074 J. Stat. Comput. Simulation 12, 175-192 (1981). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
de Gooijer, Jan G. Exact moments of the sample autocorrelations from series generated by general ARIMA processes of order (p,d,q), d=0 or 1. (English) Zbl 0457.62075 J. Econom. 14, 365-379 (1980). MSC: 62M10 62E15 62Q05 65C99 × Cite Format Result Cite Review PDF Full Text: DOI
Steyn, A. G. W. Estimating parameters in an autoregressive process by combining the methods of moments and of least squares. (English) Zbl 0456.62070 S. Afr. Stat. J. 14, 103-120 (1980). MSC: 62M10 62M05 62F10 × Cite Format Result Cite Review PDF
Davies, Neville; Newbold, Paul Sample moments of the autocorrelations of moving average processes and a modification to Bartlett’s asymptotic variance formula. (English) Zbl 0443.62071 Commun. Stat., Theory Methods A9, 1473-1481 (1980). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
McLeod, A. I. On the distribution of residual autocorrelations in Box-Jenkins models. (English) Zbl 0407.62065 J. R. Stat. Soc., Ser. B 40, 296-302 (1978). MSC: 62M10 62H10 × Cite Format Result Cite Review PDF
Sadeh, Willy Z.; Koper, Chester A. jun. A method for determining the weak statistical stationarity of a random process. (English) Zbl 0392.62068 AIAA J. 16, 1196-1202 (1978). MSC: 62M07 60G10 × Cite Format Result Cite Review PDF Full Text: DOI