Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application (Q2284381)
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English | Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application |
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Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application (English)
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15 January 2020
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This paper is about Limiting Spectral Distribution (LSD). The main result of this article is that, under some assumptions, the trace of any polynomial in \(\left\lbrace \hat{\Gamma}_{u}, \hat{\Gamma}_{u}^{*}, u \geq 0\right\rbrace\), where \(\hat{\Gamma}_{u}\) is the \(u\)-th order sample autocovariance matrix, is asymptotically normal. In addition, the results are illustrated through several examples (13 in total) in the context of time series, focusing on the inference (hypotheses tests and estimation of the unknown order) of high-dimensional MA processes.
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moving average process
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sample autocovariance matrices
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limiting spectral distribution
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trace
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asymptotic normality
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estimation
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testing of hypothesis
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