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Consistent estimation of the asymptotic covariance structure of multivariate serial correlation

Author

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  • Guy Melard
  • Marianne Paesmans
  • Roch Roy

Abstract

. A method is proposed for estimating, in a consistent way, the asymptotic covariance structure of serial correlations for a multivariate second‐order stationary process. To obtain a consistent estimator of this structure, which is also of the non‐negative definite type, results relative to the scalar case are generalized. The method consists in weighting appropriately the elements of the sample autocorrelation matrices in a generalization of Bartlett's formula so that the estimator converges in probability. Several useful applications of the results of the paper are mentioned. Copyright © 1991, Wiley Blackwell. All rights reserved

Suggested Citation

  • 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.
    • Handle: RePEc:ulb:ulbeco:2013/13722
    Note: SCOPUS: ar.j
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    References listed on IDEAS

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    1. Bertrand Mareschal & Guy Melard, 1988. "Algorithm AS-237: The corner method for identifying autoregressive-moving average models," ULB Institutional Repository 2013/13704, ULB -- Universite Libre de Bruxelles.
    2. M. J. R. Healy, 1968. "Multiple Regression with a Singular Matrix," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 17(2), pages 110-117, June.
    3. 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.
    4. Melard, Guy & Roy, Roch, 1987. "On confidence intervals and tests for autocorrelations," Computational Statistics & Data Analysis, Elsevier, vol. 5(1), pages 31-44.
    5. Guy Melard & Roch Roy, 1987. "On confidence intervals and tests for autocorrelations," ULB Institutional Repository 2013/13702, ULB -- Universite Libre de Bruxelles.
    6. 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. Deepak Nag Ayyala & Anindya Roy & Junyong Park & Rao P. Gullapalli, 2018. "Adjusting for Confounders in Cross-correlation Analysis: an Application to Resting State Networks," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 123-150, May.

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