Sample autocovariances of long-memory time series

DOI10.3150/07-BEJ113zbMath1155.62323arXiv0805.2029OpenAlexW3105404703MaRDI QIDQ1002560

Lajos Horváth, Piotr S. Kokoszka

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.2029

zbMATH Keywords

long-range dependencelimit distributionsample autocovariances

Mathematics Subject Classification ID

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

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Cites Work

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