A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES

DOI10.1111/1467-9892.00039MaRDI QIDQ4337826zbMATH OpenOpenAlexFDO

Authors Daniel MacRae Keenan

Publication date 27 May 1997

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00039

zbMATH Keywords

Berry-Esseen type resultjoint asymptotic normalityportmanteau testsample autocovariancesstationary processtime series

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(11)

• An asymptotic theory for sample covariances of Bernoulli shifts
• A Darling-Erdős type result for stationary ellipsoids
• A new test for checking the equality of the correlation structures of two time series
• ON WEIGHTED PORTMANTEAU TESTS FOR TIME-SERIES GOODNESS-OF-FIT
• scientific article; zbMATH DE number 3872518 (Why is no real title available?)
• Covariances estimation for long-memory processes
• Some limit theory for autocovariances whose order depends on sample size
• Portmanteau tests based on quadratic forms in the autocorrelations
• Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
• On the maximum of covariance estimators
• To be or not to be: roughness or long memory in volatility?

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