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On confidence intervals and tests for autocorrelations

Author

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  • Guy Melard
  • Roch Roy

Abstract

We propose a statistical procedure for estimating the asymptotic variances and covariances of sample autocorrelations from a stationary time series so that confidence regions and tests on a finite subset of autocorrelations can be implemented. The corresponding algorithm is described. The accuracy of the asymptotic confidence intervals for finite samples is studied by Monte Carlo simulations. Further, our method is illustrated with examples from the literature.

Suggested Citation

  • Guy Melard & Roch Roy, 1987. "On confidence intervals and tests for autocorrelations," ULB Institutional Repository 2013/13702, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/13702
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    References listed on IDEAS

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    1. Guy Melard & Roch Roy, 1984. "Sur un test d'égalité des autocovariances de deux séries chronologiques," ULB Institutional Repository 2013/13694, ULB -- Universite Libre de Bruxelles.
    2. Guy Melard & Roch Roy, 1983. "Testing for homogeneity and stability of time series," ULB Institutional Repository 2013/13814, ULB -- Universite Libre de Bruxelles.
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    Cited by:

    1. Guy Melard & Marianne Paesmans & Roch Roy, 1991. "Consistent estimation of the asymptotic covariance structure of multivariate serial correlation," ULB Institutional Repository 2013/13722, ULB -- Universite Libre de Bruxelles.
    2. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027, July.

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