STA457H1 Lecture : 2.4 Properties of mu and rho.docx
Document Summary
X i)= n[n x (0)+2 j=1 i=1 j=1. X( i j )=n x (0)+2 (n 1) x (1)+2( n 2) x (2)+ +2 x (n 1 ) n n j=1 i=1. Cov (xi , x j)= (n j) x ( j)]=lim n [ x(0)+2 n 1 j=1 n 1(1 j n) x ( j)] W is a k k matrix, where the (i, j) th element is: (bartlett"s formula) (r+i) (r+ j)+ (r 1) (r+ j)+2 (i) ( j) 2(r ) 2 (i) (r) (r+ j) 2 ( j) (r) (r+i)= . [ (r+i)+ (r i) 2 (i) (r)] [ (r+ j)+ (r j) 2 ( j) (r)] r=1 r=1. Note: w ij is the asymptotic covariance between i and j is. [ (r+1)+ (r 1) 2 (1 ) (r)]2. Note: (r+1)+ (r 1) 2 (1) (r)=0 if r 3.
