BARTLETT'S FORMULAE-CLOSED FORMS AND
RECURRENT EQUATIONS

GEORGI N. BOSHNAKOV

Institute of Mathematics, Acad. G.Bonchev str., 8, 1113 Sofia, Bulgaria

(Received November 21, 1994; revised May 8, 1995)

Abstract.    We show that the entries of the asymptotic covariance matrix of the sample autocovariances and autocorrelations of a stationary process can be expressed in terms of the square of its spectral density. This leads to closed form expressions and fast computational algorithms.

Key words and phrases:    Bartlett's formula, ARMA, sample autocovariances, sample autocorrelations.

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