A note on the sum of the sample autocorrelation function

被引：18

作者：

Hassani, Hossein ^{[1
,2
]}

机构：

[1] Cardiff Univ, Cardiff Sch Math, Stat Grp, Cardiff CF24 4AG, Wales

[2] 2 Stat Res & Training Ctr, Tehran 1413717911, Iran

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2010年 / 389卷 / 08期

关键词：

Sample autocorrelation function; Stationary process; Diagnostic check; Approximate test for autocorrelation;

D O I：

10.1016/j.physa.2009.12.050

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

It is shown that the sum of the sample autocorrelation function at lag h >= 1 is always -1/2 for any stationary time series with arbitrary length T >= 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 nor Independent and identically distributed This finding implies that the result of diagnostic check and model building using the traditional assumption of ud can be quite misleading (C) 2009 Elsevier B V. All rights reserved

引用

页码：1601 / 1606

页数：6

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