An asymptotic theory for sample covariances of Bernoulli shifts

DOI10.1016/J.SPA.2008.02.008zbMATH Open1157.60016OpenAlexW2069028278MaRDI QIDQ1004401FDOQ1004401

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.02.008

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zbMATH Keywords

asymptotic normality covariance nonlinear time series dependence martingale moderate deviation stationary process linear process test of correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cited In (12)

On the maximum of covariance estimators
Asymptotic properties of serial covariances for nonlinear stationary processes
Change-point analysis in increasing dimension
A Darling-Erdős type result for stationary ellipsoids
Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting
Time-varying correlation for noncentered nonstationary time series: simultaneous inference and visualization
Covariances estimation for long-memory processes
Data-driven portmanteau tests for time series
Portmanteau-type tests for unit-root and cointegration
Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
Simultaneous confidence bands for sequential autoregressive fitting
Simultaneous confidence bands for Yule-Walker estimators and order selection

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