MOMENTS OF THE SAMPLED AUTOCOVARIANCES AND AUTOCORRELATIONS FOR A GENERAL GAUSSIAN PROCESS
Brajendra C. Sutradhar · 2016
The sample autocovariances ck and autocorrelations ru s= cjfe/c0, provide a means for identifying and interpreting time series. More specifically, the moments of the autocovariances are important for studying the spectral properties of the time series. In evaluating the first and second order mom ents of the sampled autocovariances, in particular to compute cov(c#, cm), k Aln, ... (1.2)