On the maximum of covariance estimators

DOI10.1016/j.jmva.2011.02.003zbMath1274.60068MaRDI QIDQ538182

Moritz Jirak

Publication date: 23 May 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.02.003

zbMATH Keywords

linear process; covariance; asymptotic extreme value distribution; short memory

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

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