Christian Francq

University of Lille 3

France

Personnal website:
Other affiliations: CREST

Christian Francq created these companion sites

Bartlett's Formula for a General Class of Non Linear Processes
Abstract
A Bartlett-type formula is proposed for the asymptotic distribution of the sample autocorrelations of nonlinear processes. The asymptotic covariances between sample autocorrelations are expressed as the sum of two terms. The first term corresponds to the standard Bartlett's formula for linear processes, involving only the autocorrelation function of the observed process. The second term, which is specific to nonlinear processes, involves the autocorrelation function of the observed process, the kurtosis of the linear innovation process and the autocorrelation function of its square. This formula is obtained under a symmetry assumption on the linear innovation process. It is illustrated on ARMA–GARCH models and compared to the standard formula. An empirical application on financial time series is proposed.
Francq, C., and J. Zakoian, "Bartlett's Formula for a General Class of Non Linear Processes", Journal of Time Series Analysis, 30, 449-465.
Authors: Francq
Zakoian
Coders: Francq
Zakoian
Last update
07/23/2012
Ranking
8
Runs
65
Visits
522