A note on the sum of the sample autocorrelation function

作者：Hassani Hossein^*

来源：Physica A: Statistical Mechanics and Its Applications , 2010, 389(8): 1601-1606.

DOI：10.1016/j.physa.2009.12.050

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

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 ident

• 出版日期2010-4-15