A note on the asymptotic normality of sample autocorrelations for a linear stationary sequence
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Publication:1817515
DOI10.1006/jmva.1996.0046zbMath0859.62079OpenAlexW1963594613MaRDI QIDQ1817515
Publication date: 9 April 1997
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jmva.1996.0046
asymptotic normalitycentral limit theoremspectral densityARIMA modelsample autocorrelationslong memory modelsstrictly stationary martingale difference white noise
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)
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