Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10524543 | Journal of Multivariate Analysis | 2005 | 11 Pages |
Abstract
We show that if a process can be obtained by filtering an autoregressive process, then the asymptotic distribution of sample autocovariances of the former is the same as the asymptotic distribution of linear combinations of sample autocovariances of the latter. This result is used to show that for small lags the sample autocovariances of the filtered process have the same asymptotic distribution as estimators utilizing more information (observations on the associated autoregression process and knowledge of the parameters of the filter). In particular, for a Gaussian ARMA process the first few sample autocovariances are jointly asymptotically efficient.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Georgi N. Boshnakov,