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

Access to Document

10.1080/00031305.1984.10483233

Cite this

@article{c37b68ee4ab048f3aff7689b62071d74,

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.",

keywords = "Autocovariance function, Time domain",

author = "McLeod, \{A. Ian\} and Carlos Jim{\'e}nez",

year = "1984",

month = nov,

doi = "10.1080/00031305.1984.10483233",

language = "Ingl{\'e}s",

volume = "38",

pages = "297--298",

journal = "American Statistician",

issn = "0003-1305",

publisher = "Taylor and Francis Ltd.",

number = "4",

}

TY - JOUR

T1 - Nonnegative definiteness of the sample autocovariance function

AU - McLeod, A. Ian

AU - Jiménez, Carlos

PY - 1984/11

Y1 - 1984/11

N2 - 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.

AB - 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.

KW - Autocovariance function

KW - Time domain

UR - https://www.scopus.com/pages/publications/33750741763

U2 - 10.1080/00031305.1984.10483233

DO - 10.1080/00031305.1984.10483233

M3 - Artículo

AN - SCOPUS:33750741763

SN - 0003-1305

VL - 38

SP - 297

EP - 298

JO - American Statistician

JF - American Statistician

IS - 4

ER -

Nonnegative definiteness of the sample autocovariance function

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this