Bartlett's formulae - Closed forms and recurrent equations

Annals of the Institute of Statistical Mathematics

Volumn 48, Issue 1, 1996, Pages 49-59

  Boshnakov, Georgi N ^a  

^a INSTITUTE OF MATHEMATICS AND INFORMATICS   (Bulgaria)

Author keywords

ARMA; Bartlett's formula; Sample autocorrelations; Sample autocovariances

Indexed keywords

AUTOCORRELATION; AUTOCOVARIANCE; CLOSED FORM EQUATION; COVARIANCE MATRIX; FAST ALGORITHM; RECURRENCE RELATION; STATIONARY PROCESS;

RANDOM PROCESSES;

EID: 0030365949     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF00049288     Document Type: Article

References (10)

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3. Bartlett, M. S. (1955). An Introduction to Stochastic Processes with Special Reference to Methods and Applications, Cambridge University Press, Cambridge.
4. Boshnakov, G. (1989). On the asymptotic distribution of the sample autocovariance and autocorrelation functions, Comptes Rendus de l'Academie Bulgare des Sciences, 42, 21-23.
5. Brockwell, P. J. and Davis, R. A. (1991). Time Series: Theory and Methods, Springer Ser. Statist., 2nd ed., Springer, New York.
6. Bruzzone, S. P. and Kaveh, M. (1984). Information tradeoffs in using the sample autocorrelation function in ARMA parameter estimation, IEEE Trans. Acoust. Speech Signal Process, 32, 701-715.
7. Cavazos-Cadena, R. (1994). A simple form of Bartlett's formula for autoregressive processes, Statist. Probab. Lett., 19, 221-231.
8. Fuller, W. A. (1976). Introduction to Statistical Time Series, Wiley, New York.
9. Kay, S. (1985). Generation of the autocorrelation sequence of an ARMA process, IEEE Trans. Acoust. Speech Signal Process, 33, 733-734.
10. Wilson, G. W. (1979). Some efficient computational procedures for high order ARMA models, J. Statist. Comput. Simulation, 8, 301-309.