Sample Cross-correlations for Moving Averages with Regularly Varying Tails

DOI10.1111/1467-9892.00236zbMath0973.62077OpenAlexW2065918414MaRDI QIDQ2744936

Mark M. Meerschaert, Hans-Peter Scheffler

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00236

zbMATH Keywords

heavy-tailed distributionsasymptotic distributionscovariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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