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Biometrika 1974 61(1):199-200; doi:10.1093/biomet/61.1.199
© 1974 by Biometrika Trust
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MISCELLANEA

Maximum autocorrelations for moving average processes

N. DAVIES, M. B. PATE and M. G. FROST

Department of Mathematical Sciences Trent Polytechnic, Nottingham

This paper derives the theoretical maximum possible autocorrelations for a moving average process of order q.

Key Words: Maximum autocorrelation • Maximum eigenvalue • Moving average process • Time series • Upper triangularized matrix


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