The asymptotic covariance matrix of the multivariate serial correlations

[摘要] We show that the entries of the asymptotic covariance matrix of the serial covariances and serial correlations of a multivariate stationary process can be expressed in terms of the autocovariances corresponding to the tensor square of its spectral density. The tensor convolution introduced in the paper may be of some interest on its own.

[发布日期] 1996-12-27

[关键词] asymptotic distribution;multivariate ARMA;serial covariances;serial correlations;Bartlett's formula;tensor convolution