Autocorrelation, autoregression and autoregressive approximation

DOI10.1214/aos/1176345882zbMath0512.62087OpenAlexW2068835296MaRDI QIDQ1050059

Zhao-Guo Chen, Hong-Zhi An, E. J. Hannan

Publication date: 1982

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345882

zbMATH Keywords

strong convergence martingales law of iterated logarithm autocorrelation autoregression best predictor linear innovations best linear predictor stationary ergodic process autoregressive approximation finite variance method of subsequences rate of almost sure convergence of autocovariances zero mean

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

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