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Oct
13
comment Covariance of *sum* of k autocorrelated variables
Thanks for that, Alecos - what I was hoping to be able to do was express var(R) in terms of the autocovariance functions of the $r_t$, since for an MA(q), $$ cov(r_t, r_{t-j})=\sigma^2 \left [ \sum_{i=0}^{q-j} \theta_i \theta_{j+i} \right ]^2 $$ (for j = 1,...,q - 0 otherwise) - I have no doubt that it can be done, but it would involve decomposing the summation in your expression into combinations of the auto covariances. I think I'll have to do it by hand for a couple of q's and k's and see if I can see a pattern. Cheers GT
Oct
13
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Oct
13
revised Covariance of *sum* of k autocorrelated variables
Fixed typo in 'guess' at var(r)
Oct
9
asked Covariance of *sum* of k autocorrelated variables
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