Let $r(j)$ denote the $j$th autocorrelation based on a sample of $N$ consecutive observations on a stationary linear stochastic process. Under mild regularity conditions on the process, an iterated logarithm result is given for the convergence of $r(j)$ as $N \rightarrow \infty$ to the corresponding process autocorrelation $\rho (j)$.
Publié le : 1974-04-14
Classification:
Iterated logarithm law,
stationary linear processes,
estimation of autocorrelations,
time series estimation,
62M10,
60F15
@article{1176996714,
author = {Heyde, C. C.},
title = {An Iterated Logarithm Result for Autocorrelations of a Stationary Linear Process},
journal = {Ann. Probab.},
volume = {2},
number = {6},
year = {1974},
pages = { 328-332},
language = {en},
url = {http://dml.mathdoc.fr/item/1176996714}
}
Heyde, C. C. An Iterated Logarithm Result for Autocorrelations of a Stationary Linear Process. Ann. Probab., Tome 2 (1974) no. 6, pp. 328-332. http://gdmltest.u-ga.fr/item/1176996714/