Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes (Q3479375)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes |
scientific article |
Statements
Limit theory for the sample covariance and correlation matrix functions of a class of multivariate linear processes (English)
0 references
1990
0 references
limit distribution
0 references
innovation sequence
0 references
multivariate regular variation condition
0 references
stable random variables
0 references
zero mean
0 references
finite variance
0 references
sample covariance function
0 references
sample correlation function
0 references
asymptotically normal
0 references
multivariate linear processes
0 references
finite second moment
0 references
sample correlation matrix
0 references
asymptotically nonnormal stable
0 references
