A note on the asymptotic normality of sample autocorrelations for a linear stationary sequence

DOI10.1006/jmva.1996.0046zbMath0859.62079OpenAlexW1963594613MaRDI QIDQ1817515

Shu-yuan He

Publication date: 9 April 1997

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

Full work available at URL: https://doi.org/10.1006/jmva.1996.0046

zbMATH Keywords

asymptotic normalitycentral limit theoremspectral densityARIMA modelsample autocorrelationslong memory modelsstrictly stationary martingale difference white noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

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Random central limit theorems for linear processes with weakly dependent innovations ⋮ On linear processes with dependent innovations

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