A note on the asymptotic normality of sample autocorrelations for a linear stationary sequence (Q1817515)

From MaRDI portal
Revision as of 23:52, 27 July 2023 by Importer (talk | contribs) (‎Created a new Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
A note on the asymptotic normality of sample autocorrelations for a linear stationary sequence
scientific article

    Statements

    A note on the asymptotic normality of sample autocorrelations for a linear stationary sequence (English)
    0 references
    0 references
    9 April 1997
    0 references
    The author considers a stationary process \(\{X_t\}\) given by \(X_t= \sum^\infty_{k=-\infty} \psi_k Z_{t-k}\), where \(\{Z_t\}\) is a strictly stationary martingale difference white noise. Let \(f(\lambda)\) be the spectral density of \(\{X_t\}\). Under the conditions that \(\int f^2(\lambda) d\lambda<\infty\) and \(m^\tau \sum_{|k|\geq m}\psi^2_k\to 0\) for some \(\tau>1/2\), it is proved that the sample autocorrelations are asymptotically normal. This is an extension of a theorem previously published in the literature in which \(\tau=1\) was assumed. The present result has an application in long memory models.
    0 references
    0 references
    asymptotic normality
    0 references
    central limit theorem
    0 references
    ARIMA model
    0 references
    strictly stationary martingale difference white noise
    0 references
    spectral density
    0 references
    sample autocorrelations
    0 references
    long memory models
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references