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A note on the sum of the sample autocorrelation function

Hassani, Hossein 2010. A note on the sum of the sample autocorrelation function. Physica A: Statistical Mechanics and its Applications 389 (8) , pp. 1601-1606. 10.1016/j.physa.2009.12.050

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Abstract

It is shown that the sum of the sample autocorrelation function at lag h≥1 is always 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 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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QC Physics
Uncontrolled Keywords: Sample autocorrelation function; Stationary process; Diagnostic check; Approximate test for autocorrelation
Publisher: Elsevier
ISSN: 0378-4371
Last Modified: 19 Mar 2016 22:47
URI: http://orca.cf.ac.uk/id/eprint/27105

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