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The American Statistician Volume 38, 1984 - Issue 4
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The Teacher's Corner

Nonnegative Definiteness of the Sample Autocovariance Function

A. Ian McLeod Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, Canada, N6A 5B9
&
Carlos Jimenéz Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario, Canada, N6A 5B9
Pages 297-298 | Received 01 Jul 1983, Published online: 30 Mar 2012
 
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Abstract

Various textbooks on time series analysis assert that the usual version of the sample autocovariance function (1) is nonnegative definite. Two simple proofs of this result are presented.

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