论文信息 - Distribution of Multivariate White Noise Autocorrelations

Distribution of Multivariate White Noise Autocorrelations

Abstract Multivariate white noise processes arise in a variety of contexts; for example, as error terms in multivariate regression models, as innovations in multiple time series models, or simply as random samples from multivariate normal distribution. Here we study the asymptotic properties of white noise autocorrelations in detail to determine their use in testing the adequacy of fit.

Ratnam V. Chitturi

[1] M. S. Bartlett,et al. Some probability limit theorems with statistical applications , 1953, Mathematical Proceedings of the Cambridge Philosophical Society.

[2] J. Kiefer,et al. An Introduction to Stochastic Processes. , 1956 .

[3] T. W. Anderson,et al. An Introduction to Multivariate Statistical Analysis , 1959 .

[4] T. Anderson. Statistical analysis of time series , 1974 .

[5] Ratnam V. Chitturi. Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes , 1974 .

[6] E. J. Hannan,et al. Multiple time series , 1970 .

[7] Calyampudi Radhakrishna Rao,et al. Linear Statistical Inference and its Applications , 1967 .

[8] T. W. Anderson. An Introduction to Multivariate Statistical Analysis , 1959 .