Distributions of the Sample Autocorrelations When Observations Are From a Stationary Autoregressive-Moving-Average Process
评估了正态分布、Edgeworth展开和四参数Pearson分布对样本自相关分布的近似效果，发现Pearson近似在小样本中更可靠，并给出了便于计算矩的表达式。
This article examines the adequacy of approximations to the distributions of the sample autocorrelations by normal distributions, Edgeworth-type expansions, and four-parameter Pearson distributions. The accuracy of these approximations is found to depend critically on the data-generating process and sample size and to improve with sample size. Only the Pearson approximations seem to be reliable in relatively small samples. The utility of these approximations is illustrated with applications. A major obstacle to using these approximations is the necessity of obtaining the exact moments of the sample autocorrelations. Convenient expressions are developed from which the moments can be computed rather easily.