Limit theory for the sample covariance and correlation functions of moving averages
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Publication:1083818
DOI10.1214/aos/1176349937zbMath0605.62092OpenAlexW2002238002MaRDI QIDQ1083818
Richard A. Davis, Sidney I. Resnick
Publication date: 1986
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176349937
ARMA model identificationautocovariance functionsmoment estimatorsstable random variablesinfinite variance casesample autocorrelationasymptotic distributional propertiesregularly varying tail probabilitiestwo-sided infinite moving averages
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)
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