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ALL THE GAUSSIAN WHITE NOISE SERIAL COVARIANCE MOMENTS TO ORDER FOUR
Author(s) -
Anderson O.D.
Publication year - 1991
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1991.tb00442.x
Subject(s) - cumulant , white noise , covariance , mathematics , gaussian noise , gaussian , additive white gaussian noise , zero (linguistics) , noise (video) , order (exchange) , moment (physics) , series (stratigraphy) , statistical physics , statistics , algorithm , computer science , physics , artificial intelligence , philosophy , finance , quantum mechanics , classical mechanics , economics , image (mathematics) , biology , paleontology , linguistics
Summary Using a recursive method, we obtain all the cumulants, central moments, and moments about zero, up to order 4, for the mean‐corrected serial covariances from series realisations of length n, given a Gaussian white noise process. Some implicit higher order results are also derived.