A simple form of Bartlett's formula for autoregressive processes

An autoregressive process of finite order is considered. In this context it is shown that Bartlett's formula for the asymptotic covariance matrix B of a vector of sample autocorrelations reduces to a matrix product, and a recursive method for computing B is given.

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Year of publication:	1994
Authors:	Cavazos-Cadena, Rolando
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 19.1994, 3, p. 221-231
Publisher:	Elsevier
Keywords:	Autoregressive processes sample autocorrelations asymptotic distribution asymptotic covariance matrix Bartlett's formula recursive calculation of a Bartlett matrix

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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