A central limit theorem is proved for the sample serial covariances of an ergodic, stationary, purely nondeterministic process whose linear innovations have their first four moments as for a sequence of independent random variables. The necessary and sufficient condition for the theorem is then that the spectra be square integrable.
Publié le : 1976-03-14
Classification:
Stationary process,
serial covariances,
central limit theorem,
62M10,
60G10
@article{1176343415,
author = {Hannan, E. J.},
title = {The Asymptotic Distribution of Serial Covariances},
journal = {Ann. Statist.},
volume = {4},
number = {1},
year = {1976},
pages = { 396-399},
language = {en},
url = {http://dml.mathdoc.fr/item/1176343415}
}
Hannan, E. J. The Asymptotic Distribution of Serial Covariances. Ann. Statist., Tome 4 (1976) no. 1, pp. 396-399. http://gdmltest.u-ga.fr/item/1176343415/