AUTOREGRESSIVE COEFFICIENTS
T. W. Anderson
Stanford University
Department of Statistics
Stanford University
Stanford, California
9105301
'
T. W. Anderson
Stanford University
Ay ..... t
AvatS)E fl,.L~o
APRIL 1991
v
~i
Department of Statistics
Stanford University
Stanford, California
6.
(1.1)(X
 p)(x,+.  A) = a(s),
s = 0, 1,...
The covariance sequence can be expressed in terms of the variance of the process
a(O) and the correlation or autocorrelation sequence
_or(s)
(1.2)
Pa =
()
 0, 1,...
If the process i3 Gaussian, the mean and the covariance sequence or alternatively
the mean, variance, and correlation sequence completely specify the process.
Inference about the process may be based on a sample of n consecutive observations x1,..., xn. The sample covariance sequence may be defined as
1 nh
(1.3)
ch = ch =
nZ
(xt 
)(t+h
),
h = 0,1
t),
h =0,1,.. ,n 1,
1,
tr=1
if p is known and as
(1.4)
Ch =c* =
1nh
n Z(Xt )(xt+h
t=l
if p is unknown; here i =
as r& = ch/co or as r
= c ,/c , h =
the process is Gaussian, the sample mean and covariance sequence or alternatively
the sample mean, variance, and correlation sequence constitute a sufficient set of
statistics. In any case the sample correlations may be used for making inferences
of v/i(ri  pj),..., vrn(rH  PH) for arbitrary H is normal with mean 0 and a
zt = /I +
(1.5)
t = O,+1.,
Yv,,,
i=O
with
, 0 yi
< 00,
0
E Ii
(1.6)
<oo
i=0
(1.7)
Wgh
prPh),
r=
g,h
,...,H.
00
(1.8)
o(h) = o(h) = o 2 j
,,+t,
h = 0,1,...,
i=0
_
(1.9)
=7i'Yi+h
Ph = Ph
h=0,,..
2=0'
h=,1.
If {xt} is secondorder stationary and purely nondeterministic, it can be represented as (1.5) with the vt's having mean 0 and variance t and being uncorrelated.
In this situation the vt's are the innovations and the errors in prediction one step
ahead.
A type of process that has been particularly useful is the autoregressive process
which satisfies the stochastic difference equation
(1.10)
Zfj(tip)=v,
t =...,1,0,1,...,
2
where fo = 1. If the vt's are independently identically distributed and the roots of
P
izP i =0
(1.11)
i=0
are less than 1 in absolute value, (1.10) defines a stationary process. If Evt = 0
and v 2
a2 <
and correlation sequences are given by (1.8) and (1.9), respectively. In the case of
p = 1 p, = #I and r, or r is an estimator of #3,.
A serial correlation coefficient (of order one) is ri or r,or a close approximation
to rl or r .It is of particular interest as providing a test of the null hypothesis that
a sequence of observations is independently distributed. The alternative hypothesis
is (often unstated) that the observations come from an autoregressive process of
order 1. The doctoral dissertation of Geoffrey Watson (1952) dealt with serial
correlations; hence this present paper is related to the early work of Watson.
In the early '40's at least four people nearly simultaneously and essentially
independently derived the distribution of some form of serial correlation when the
Xt's were independently normally distributed with mean 0 and variance O 2 (p =
0
and P
(1.12)
Et=
(Xt 
Xt
Et=(Xt  i)2
2
2 
(xt  ')(Xg l
)+
(x
)2
1
Et= J(Xt t)2
(RX 
(1.13)
Et=r(xt  i)(Xti  i )
where zO  zn. Wilfrid J. Dixon had independently obtained many of the results.
(They were to be included in his doctoral dissertation, but because of the publications of the others he changed his dissertation topic.) A number of new results were
3
published subsequently [Dixon (1944)]. These authors also derived some asymptotic
distributions of the serial correlations, which are asymptotically equivalent to rl.
R. L. Anderson and T. W. Anderson (1950) observed that the distribution of
the circular serial correlation of residuals from a fitted Fourier series has the same
form as the circular serial correlation from the mean. T. W. Anderson (1948) generalized this result to any serial correlation of residuals from independent variables
constituting characteristic vectors of the matrix of the quadratic form in the numerator of the coefficient. R. L. Anderson suggested "to one of the authors" of Durbin
and Watson (1950), (1951) the investigation of more general residuals. The dissertation of Watson (1952), a more extensive study of serial correlation of residua:z,
was under the supervision of R. L. Anderson.
Mann and Wald (1943) derived the asymptotic normality of the sample autocovariances in an autoregressive process under the assumption of existence of all
moments of the innovations. The asymptotic covariances (1.7) of the sar .ple correlations for the linear process were given by Bartlett (1946) under the (implicit)
assumption that Evt < oo. Hoeffding and Robbins (1948) proved the asymptotic
normality under the assumption Evt <0 0 for (1.5) being a finite sum; this condition was weakened by Diananda (1953) and Walker (1954) to Ev' < o.
The fact
that the asymptotic covariances depend only on the prccess correlation function
suggests that the condition Ev~t < oo is not necessary. T. W. Anderson (1959)
obtained the limit distribution of vfn(rj  pi) for an autoregressive process of order
one when only ev 2 < oo is assumed. T. W. Anderson and Walker (1964) found
the asymptotic distribution of a finite number of correlations when (1.5) is satisfied
with FZO i72l < 00.
The assumption that the process {xt} is stationary can be relaxed; in the model
(1.5) the vt's do not have to be identically distributed. In that case the process
correlations can still be defined by (1.9). Moreover, the innovations do not need
to be independently distributed. Instead we assume that the vt's are martingale
differences. Let ... C F
0Fo
C .F C ... be an increasing sequence of ofields
(1.14)
Instead of Ev2
...
,1,0,1...
(1.15)
(,,l.F,_j) =a
t = 1,0,1,...,
a.s.,
(1.16)P,,
nEa
t=1
, o,
and
sup 6[v,(,
(1.17)
> )l.',1]
as a  oo; here I(.) is the indicator function. [I(A) = 1 if the event A occurs, and
I(A) = 0 if the event A does not occur.] Condition (1.17) is a kind of conditional
uniform integrability. For convenience we assume that for some K
vt2 < K,
(1.18)
t ...
2
(1.19)
,1,0,1,...
t i4 S.
vt v ,2 < K,
(1.20)
E 0, V5r
7,a
= 1,2,...,
t=1
where 6, = 1 and
(1.21)
E NV < 00.
i=0
Note that autoregressive moving average processes satisfy (1.21). Hannan and
Heyde (1972) derived the asymptotic distribution of the ri's when the v,'s are
5
martingale differences. Their conditions are much stronger than ours. In particular,
they assume 2 == 0 2 a.s. and bounded fourthorder moments. A more detailed
comparison of their conditions and ours will be made later in this paper.
The purpose of this paper is to give the very weak conditions for the asymptotic
normal distribution of the sample correlations. A general theorem of Anderson and
Kunitomo (1989) is used. That theorem is based on a martingale central limit
theorem of Dvoretzky (1972). More details are given in this paper than in Hannan
and Heyde (1972).
The organization of this paper follows that of Anderson and Walker (1964).
The case of one sample correlation when p is known is proved first. Then the
theorem is proved for an arbitrary number of correlations. Finally the result is
proved for unknown p.
Theorem. Let {xt} be defined by (1.5), where {i} satisfies (1.6) and (1.21).
Suppose that {vg} satisfies (1.14), (1.15), (1.16), (1.17), (1.18), (1.19), and (1.20).
Then
(1.22)
v
ri  P1
d+
rH
N(0, W),
PH
rE  pi
V]
(1.23)
d N(o, W),
LrH
PH
pI) dN(o, wij); then we take up the case of an arbitrary number of corre
(2.1)
()yy~lP
(2.2)
Ytk
Ivti
i=0
(2.4) z 1
ni
Pk
Yt~~~
=k
 Pik
nI
=~n
E^fhfjtVt,Vj
Et=1 i,=
n
k
t=1
E l
Pi
f=1 1
7fjtrnvt3vj
s,j 0
k=O
t1
=I
i= t
,o
h and t
j are
omitted.
(2.6)
(2.7)
=~
+ 'Y,'+rPlk(
k
i=0
k~
and y'i = yfor 0:_ i :5 k and y'i = 0 otherwise (that is, for i < 0 and i > k).
(2.8)
Pik EZ
Vvt 1 i
'!^t~~
nk
'Yilrtvt+
+ Ey
kI
^NIYi+rtitir + E. YirVti+r
/1
r
Another change of indices and the addition and subtraction of a finite number of
terms (the number not depending on n) changes (2.8) to
(2.9)
where
1=
(hre
1) = Ek+I 6(1)
.,r=rkVtr
k+I
I
n
=
k$ I
t(
(l)
()
V
(2.10)
sup
t=k+l,...,n
V P 0.
nt
[See the proof of Theorem 2.23 of Hall and Heyde (1980).] Therefore
(2.11)
sup
t=l,...,n
!P4 t
. 0.
(2.12)
n 1: v9_r
Condi
(2.13)
n
1:
V,_rVt,__P+ 0,
r 54 s.
t=1
k+I
(2.14)
4
t=1
k+I~
1
r I
2bI)
=
The conditions of Theorem 1 of Anderson and Kunitomo (1989) are satisfied with
S()
Let
nI
(2.15)
z,
00
00l
t=i,.P
,.i=0 f\t=j
.7.
(2.16)
i=0
(2.17)
2k
+ 7 ()Y,+ir

PY(7>*+r + 3"Y'r)}
oc since
00
(2.18)
Utk = yt
Ytk =
7ivt,i.
t=k+l
Then
nI
(2.19)
YtkYt+,k]
t=n
+7=
+ Plk tkI
E
[PI(Ytk + Utk)
t=1
nI
k t1Y
p iY tkU k
IU k ]
t=1
where the prime on ) denotes that terms VtVo with t = s are omitted. Let
nI
(2.90)
Uiky+,k,..,
t=1
72 = I
utk
t=1
T h.
nZUk
_T6 =
(2.21)
Pg =1
n
t=1 ijJ
i<j
(If pt = 0, T4 =
by 2 is
(2.22)
Vnt=1 i~j +I
t,t'=l i,j,i'.j'h+1
10
EIVt,vtjV,,,Vt'Ij'
V_EV ,V,
,,i,
< K2 .
Then (2.22) is
00
(2.24)
n1
(2.25)
ilrt_:i),
=1~
(I
,
P
For T4 we consider
1
(2.26)
7n
y2
k =  7n
t=1 ,jO
i<j
k
n kI
2 FE
E
= 7n=
',fvt,v,
kI ki
",aY7+hvt,vt,h
t=1 i=O h=1
kI
= 2E
,=0
^/i
E
/n t=I
k
i\
vti.
(\ji+hvtih
h=
For each i the term in (2.26) that is multiplied by yi has a limiting normal distribution [by Theorem 1 of Anderson and Kunitomo (1989) with z, = "=1 7i+hVtih],
and hence the sum on i has a limiting distribution. Since Ptk
11

0.
It follows from the CauchySchwarz inequality and the behavior of E"' y2 /Vi
and '' utk/vl/ that T5
P
0 follows similarly.
Lemma 3. The limiting distribution of z(0 is N(O, a 4 Vi).
(2.27)
() z(
"2
3V
Z*1 i
1t Ft _o
i= O
t=1
ti=
l
_P,E f.V
V.2
1:28
where
ni
=
 pn(
1
8=1
,=i
where
n
a=nii+
ni
=i
(2.29)
='E
8=1
8=1i
a=li
< 
V.2
_
(2.30)
E
i=0
?T()
_.
2E 2
E+
1"
0
2 +t
.=1i
i=12=ni+l
12
i=n+l
8=1i
8=l
The expected value of the first pair of terms on the righthand side of (2.30) is not
greater than
(i0
ii~
=0
=n+"
000
/=+
K= ~
nlK
i=0
00n+1
+i=
+1
for m < n. The second term on the righthand side of (2.31) is made arbitrarily small
by taking m large enough. The first term is made arbitrarily small by taking n large
enough, given m. The second pair of terms on the righthand side of (2.30) is treated
similarly. Then Markov's inequality implies that (2.30) converges stochastically to
0.
The absolute value of the first term on the righthand side of (2.27) has expected
value not greater than
(2.32) 1
h00
cY')17+l
i=0
it
>
1)+
tIy+uI(2i
 h'i+1I(2n I1)1"17+ K
71 II 1tl
+ +2yj
71n <2i=0LI til7F",
i=n+l
<
nI
00
0000
I yI +jjn+'Ey,.
II.Iy+ i+ 2
= [2j F+
2n [
iO
0
10
i=n+l
The argument used for (2.31) shows that the righthand side of (2.32) can be made
arbitrarily small uniformly in n.
(2.33)
co0
af E
i=O
13
f2 .
1E
t=l
(2.34)
E
t=l
ZIYtk
t=l
YtkUtk +1n
t=l
(2.35)
(2.35)
1E n!
 1 E~
n
U2
t=l
7,jvtivtj
Y~~ ... ~~
00
tI i,j=k+1
n
t=1 i,j=k+l
~=k+1
i:
2K
(2.36)
Ydk
ZE
tiZfjVtiVtj
t=l
t=1 i,j=O
k
E
i=O
n2
n_1t=1
k
Yfi'YjVtiVtj.
E
s,j=o
ty
o 2k
0t2,
The first term on the righthand side of (2.36) converges in probability to r2 "k
0 i,
the limit of which is a2 X0 y as k + c. The second term in (2.36) is 2/vn'
times
Z7E
(2.37)
E yZ
 vjv~j
=0 i=j+l
t= j=0 h=1
h
(2.38)
t=1
(.38)1
n \=o h=1 yj1
14
hvth
h=l
j+hVth
shows that the limiting distribution of (2.38) is normal with finite variance. Hence
the second term in (2.36) converges stochastically to 0.
The second term in (2.34) is in absolute value
(2.39)
2 1ytut
<_2
Z2
utk,
Lemma 5. Under the conditions of the theorem V/i(rj  pI) dN(O, wu).
Proof of Lemma 5. We have
Vn/(ri  p,)
(2.40)
F'nI1
P]
F[t=n=YYt+1
y2 PI
Et31tYt+1P
t~
n
n~=
']/'2hp
(h
EH
h=l=hZna/
CO
has a limiting normal distribution for any constants al,..., all. The generalization
ih sm
(h),
of Lemma 1 pertains to y 2 Hf
of az,n , which is modified by addition and subtraction
of a finite number of terms (the number not depending on n) to
n k+H
15
where
 Zal,60)
thrk
6=
(2.43)
h=l
(2.44)
_,,4.
)*,.
h=1
h=1
3. Proof of Corollary.
Lemma 6. Under the conditions of the theorem
(3.1)
+
(3.2)
n(i  p)' =
1  L!)
J)(Zt+. 
ff(n1)
n
00
S(n1)
=
(1
ij=o

=
S=0o i=6
<00
16
iff=
O '+'
"
(3.3)
nh
1
vln[ch
" [
)
n(h)
nnh
t=t
=
(x
()]
11)2
_n
 a(l)],.,
0(1)],.,
of the set vfn(rl* p),... , /F(r  PH)is the same as the limiting distribution of
the set v n(r,  p),..
, /n(r H P Ht)
4. Discussion
4.1.
17
(4.1)
0,4or
s ,2..
t=1
where {rr,} is arbitrary. Then in the theorem and corollary w,h given by (1.17) is
replaced by
00
(4.2)
2 PrPh).
rsl
The major change in the derivation is that a generalization of Theorem 1 of Anderson and Kunitomo (1989) is applied to obtain a variance in Lemma 1 of
(4.3)
E
k+l
) sk *(
rk
r,s=1
the present paper [ as in Anderson and Kunitomo (1989)] are weaker than those of
Hannan and Heyde. In both papers (1.6), (1.14), and (1.21) are assumed. Instead
of (1.17), (1.18), and (1.19), Hannan and Heyde assume that there exists a constant
c and a random variable X such that
(4.4)
and
EX 4 < 00.
(4.5)
This condition implies that the pure fourthorder moments of the innovations are
bounded. Instead of (1.16) they assume
1n
(4.6)
_ 0,2
a.s.
t=1
and
'v2
(4.7)
= or2.
(4.8)
V2Vt,,_rvt,_
= a'4 T,
r, s = 1,2 ....
The conditions of Hannan and Heyde are considerably stronger than those of this
paper in that they assume that variances and mixed fourthorder moments of the
innovations are homogeneous.
19
References
University.
Anderson, T. W., and A. M. Walker (1964), On the asymptotic distribution of
the autocorrelations of a sample from a linear stochastic process, Ann. Math.
Statist., 35, 12961303.
Bartlett, M. S. (1946), On the theoretical specification and sampling properties
of autocorrelated timeseries, J. Roy. Statist. Soc. Supp. 8, 2741, 8597.
[Corrigenda (1948), 10, 200.]
Diananda, P. H. (1953), Some probability limit theorems with statistical applications, Proc. Cambridge Philos. Soc. 49, 239246.
Dixon, Wilfrid J. (1944), Further contributions to the problem of serial correlation,
Ann. Math. Statist., 15, 119144.
Durbin, J., and G. S. Watson (1950), Testing for serial correlation in least squares
regression. I, Biometrika, 37, 409428.
Durbin, J., and G. S. Watson (1951), Testing for serial correlation in least squares
regression. II, Biometrika, 38, 159178.
Dvoretzky, Aryeh (1972), Asymptotic normality for sums of dependent random variables, Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics
and Probability, Volume 2. University of California Press, Berkeley and Los
Angeles, 513535.
20
Hall, P., and C. C. Heyde (1980), Martingle Limit Theory and Its Application,
Academic Press, New York.
Hannan, E. J., and C. C. Heyde (1972), On limit theorems for quadratic functions
of discrete time series, Ann. Math. Statist., 43, 20582066.
Hoeffffding, Wassily, and Herbert Robbins (1948), The central limit theorem for
dependent random variables, Duke Math. J., 15, 773780.
Koopmans, Tjalling (1942), Serial correlation and quadratic forms in normal variates, Ann. Math. Statis., 13, 1433.
Mann, H. B. and A. Wald (1943), On the statistical treatment of linear stochastic
difference equations, Econometrica, 11, 173220.
von Neumann, John (1941), Distribution of the ratio of the mean square successive
difference to the variance, Ann. Math. Statist., 12, 367395.
Walker, A. M. (1954), The asymptotic distribution of serial correlation coefficients
for autoregressive processes with dependent residuals, Proc. Cambridge Philos.
Soc., 50, 6064.
Watson, G. S. (1952), Serial Correlation in Regression Analysis, Mimeo Series No.
49, Institute of Statistics, University of North Carolina, Chapel Hill, N.C.
21
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2. REPORT DATE
I April 1991
Technical Reiort
6. AUTHOR(S)
,ZfiALO3 Y9K
T. W. Anderson
S. PERFORMING ORGANIZATION
REPORT NUMBER
Department of Statistics
Sequoia Hall
Stanford University
Stanford, CA 943054065
26
AEC
0653
EOTNME
277092211
A"
?6399d.SM'A
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