Nonnegative definiteness of the sample autocovariance function

A. Ian McLeod; Carlos Jiménez

doi:10.1080/00031305.1984.10483233

Nonnegative definiteness of the sample autocovariance function

A. Ian McLeod, Carlos Jiménez

Western University

Research output: Contribution to journal › Article › peer-review

13 Scopus citations

Abstract

Various textbooks on time series analysis assert that the usual version of the sample autocovariance function (1) is nonnegative definite. Two simple proofs of this result are presented.

Original language	English
Pages (from-to)	297-298
Number of pages	2
Journal	American Statistician
Volume	38
Issue number	4
DOIs	https://doi.org/10.1080/00031305.1984.10483233
State	Published - Nov 1984
Externally published	Yes

Keywords

Autocovariance function
Time domain

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10.1080/00031305.1984.10483233

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title = "Nonnegative definiteness of the sample autocovariance function",

abstract = "Various textbooks on time series analysis assert that the usual version of the sample autocovariance function (1) is nonnegative definite. Two simple proofs of this result are presented.",

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AU - Jiménez, Carlos

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KW - Time domain

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DO - 10.1080/00031305.1984.10483233

M3 - Artículo

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VL - 38

SP - 297

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JO - American Statistician

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Nonnegative definiteness of the sample autocovariance function

Abstract

Keywords

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