Article ID Journal Published Year Pages File Type
979018 Physica A: Statistical Mechanics and its Applications 2010 6 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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