Joint asymptotic distributions of sample autocorrelations for time series of martingale differ\-ences

zbMATH Open1107.62091MaRDI QIDQ873873FDOQ873873

Authors: N. E. Zubov 

Publication date: 20 March 2007

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

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zbMATH Keywords

sample autocorrelationsconditionally heteroscedastic time seriesexact joint asymptotic distributionlimiting standard errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cited In (2)

• Title not available (Why is that?)
• The perils of inferring serial dependence from sample autocorrelations of moving average series

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