کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979018 933317 2010 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A note on the sum of the sample autocorrelation function
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
A note on the sum of the sample autocorrelation function
چکیده انگلیسی

It is shown that the sum of the sample autocorrelation function at lag h≥1h≥1 is always −12 for any stationary time series with arbitrary length T≥2T≥2 (Hassani, 2009 [1]). In this paper, the distribution of a set of the sample autocorrelation function using the properties of this quantity is considered. It is found that the distribution of a set of the sample autocorrelation estimates is not independent and identically distributed. This finding implies that the result of diagnostic check and model building using the traditional assumption of iid can be quite misleading.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 8, 15 April 2010, Pages 1601–1606
نویسندگان
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