The Uniform Convergence of Autocovariances
Hannan, E. J.
Ann. Statist., Tome 2 (1974) no. 1, p. 803-806 / Harvested from Project Euclid
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Under general circumstances it is shown that the sample autocovariances of a discrete, stationary, ergodic process with finite covariance which is also purely nondeterministic converge, uniformly on the lag, almost surely to the true values. The result is used to prove the almost sure convergence, uniform in a parameter, of an expression relevant to the estimation of a lagged relation between two series.
Publié le : 1974-07-14
Classification:  Stationary process,  autocovariance,  almost sure convergence,  group delay,  62M10,  60G10 
@article{1176342767,
     author = {Hannan, E. J.},
     title = {The Uniform Convergence of Autocovariances},
     journal = {Ann. Statist.},
     volume = {2},
     number = {1},
     year = {1974},
     pages = { 803-806},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176342767}
}

Hannan, E. J. The Uniform Convergence of Autocovariances. Ann. Statist., Tome 2 (1974) no. 1, pp.  803-806. http://gdmltest.u-ga.fr/item/1176342767/