Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process |
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| Authors: | Oliver D. Anderson |
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| Affiliation: | Department of Statistical and Actuarial Sciences The University of Western Ontario London, Ontario N6A 5B9 |
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| Abstract: | ![]()
Cumulants, moments about zero, and central moments are obtained for the mean-corrected serial covariances and serial correlations for series realizations of length n from a white-noise Gaussian process. All first and second moments (and some third, fourth, and higher moments) are given explicitly for the serial covariances; and the corresponding moments for the serial correlations are derived either explicitly or implicitly. |
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| Keywords: | Cumulant and moment generating functions Pitman's theorem |
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