Bartlett-type formulas for complex multivariate time series of mixed spectra

DOI10.1016/0167-7152(95)00133-6zbMath0856.62076OpenAlexW2085084391MaRDI QIDQ1922249

Ta-Hsin Li

Publication date: 15 September 1996

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00133-6

zbMATH Keywords

asymptotic normalitycorrelationsautocorrelationmixed spectraasymptotic covariancescomplex-valued multivariate time seriessample covariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Asymptotic normality of the sample mean and covariances of evanescent fields in noise

Cites Work

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• Asymptotic normality of sample autocovariances with an application in frequency estimation
• Discrimination of Time Series by Parametric Filtering
• Performance of normalized correlation estimators for complex processes
• Strong consistency of the contraction mapping method for frequency estimation
• Martingale Central Limit Theorems

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