Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes

DOI10.1080/15326349908807158zbMATH Open0701.62033OpenAlexW2026503475MaRDI QIDQ3479375FDOQ3479375

Authors: Richard A. Davis, James E. Marengo 

Publication date: 1990

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349908807158

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zbMATH Keywords

limit distributionstable random variablessample correlation matrixfinite second momentasymptotically normalfinite variancezero meanasymptotically nonnormal stableinnovation sequencemultivariate linear processesmultivariate regular variation conditionsample correlation functionsample covariance function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cited In (6)

• Limit Theorems for Traces of Sample Covariance Matrices
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Strong approximation for cross-covariances of linear variables with long-range dependence
• More limit theory for the sample correlation function of moving averages
• Asymptotic distributions of functions of the eigenvalues of sample covariance matrix and canonical correlation matrix in multivariate time series
• Title not available (Why is that?)

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