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Bartlett's formulae—Closed forms and recurrent equations

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Abstract

We show that the entries of the asymptotic covariance matrix of the sample autocovariances and autocorrelations of a stationary process can be expressed in terms of the square of its spectral density. This leads to closed form expressions and fast computational algorithms.

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Author information

Authors and Affiliations

  1. Institute of Mathematics, Acad. G.Bonchev str., 8, 1113, Sofia, Bulgaria

    Georgi N. Boshnakov

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  1. Georgi N. Boshnakov
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Additional information

This research has been partly supported by contract No. MM 440/94 with the Bulgarian Ministry of Science and Education and by the Division of Quality Technology and Statistics, Luleå University, Sweden.

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Boshnakov, G.N. Bartlett's formulae—Closed forms and recurrent equations. Ann Inst Stat Math 48, 49–59 (1996). https://doi.org/10.1007/BF00049288

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  • DOI: https://doi.org/10.1007/BF00049288

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