This analysis reports distributions and quantiles of sample moments from stationary processes, highlighting sample autocovariance and autocorrelation.
We give expansions for the distribution, density and quantiles of any smooth function of the sample cross-moments of a stationary process. We do this by showing that the sample cross-moments are standard estimates. The 8 examples include the sample autocovariance and the sample autocorrelation.
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Christopher S. Withers (2025) studied this question.
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