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Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
Authors:Oliver D Anderson
Institution:Department of Statistical and Actuarial Sciences The University of Western Ontario London, Ontario N6A 5B9
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.
Keywords:Cumulant and moment generating functions  Pitman's theorem
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