Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

DOI10.1016/0304-4076(95)01740-2zbMath0854.62084OpenAlexW2059850868MaRDI QIDQ1922366

Publication date: 19 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01740-2

zbMATH Keywords

time series central limit theorem autocorrelations power law decay fractional differencing sample mean Rosenblatt distribution noncentral limit theorem fractional ARIMA process autocovariances long-memory processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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