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The asymptotic covariance matrix of the multivariate serial correlations

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  • Boshnakov, Georgi N.

Abstract

We show that the entries of the asymptotic covariance matrix of the serial covariances and serial correlations of a multivariate stationary process can be expressed in terms of the autocovariances corresponding to the tensor square of its spectral density. The tensor convolution introduced in the paper may be of some interest on its own.

Suggested Citation

  • Boshnakov, Georgi N., 1996. "The asymptotic covariance matrix of the multivariate serial correlations," Stochastic Processes and their Applications, Elsevier, vol. 65(2), pages 251-258, December.
    • Handle: RePEc:eee:spapps:v:65:y:1996:i:2:p:251-258
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    References listed on IDEAS

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    1. Georgi Boshnakov, 1996. "Bartlett's formulae—Closed forms and recurrent equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(1), pages 49-59, March.
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    Cited by:

    1. Boshnakov, Georgi N., 2005. "On the asymptotic properties of multivariate sample autocovariances," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 42-52, January.

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