An asymptotic theory for sample covariances of Bernoulli shifts

DOI10.1016/J.SPA.2008.02.008MaRDI QIDQ1004401zbMATH OpenOpenAlexFDO

Authors Wei Biao Wu

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

zbMATH Keywords

asymptotic normalitycovariancenonlinear time seriesdependencemartingalemoderate deviationstationary processlinear processtest 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)

• 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
• A Darling-Erdős type result for stationary ellipsoids
• On the maximum of covariance estimators
• Change-point analysis in increasing dimension
• Simultaneous confidence bands for sequential autoregressive fitting
• Asymptotic properties of serial covariances for nonlinear stationary processes
• Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
• Portmanteau-type tests for unit-root and cointegration
• Simultaneous confidence bands for Yule-Walker estimators and order selection
• Data-driven portmanteau tests for time series

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