Sankhya: The Indian Journal of Statistics

1994, Volume 56, Series B, Pt. 2, pp. 272--285

MOMENTS OF THE SAMPLED AUTOCOVARIANCES AND AUTOCORRELATIONS FOR A GENERAL GAUSSIAN PROCESS

By

BRAJENDRA C. SUTRADHAR, Memory University of Newfoundland

SUMMARY. Explicit formulae for the exact mean and covariance of sample serial covariances are obtained for a general Gaussian process. These moments are applied to derive approximate mean and variance of sample calculations. The calculation of moments is illustrated for the widely used AR(1), MA(1), and Gaussian white noise processes.

AMS (1985) subject classification. Primary 62M10.

Key words and phrases. Balanced arrays, main-effect plans, regular group divisible design, nested BIB designs, balanced ternary designs.

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