Asymptotics of the sample mean and sample covariance of long-range-dependent series

DOI10.1239/jap/1082552213zbMath1049.62015OpenAlexW2089701028MaRDI QIDQ4822475

Wen Dai

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082552213

zbMATH Keywords

central limit theoremlong-range dependencelaws of large numberssample meansample covariance

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) Strong limit theorems (60F15)

Related Items

Covariances Estimation for Long-Memory Processes ⋮ Ratio-consistent estimation for long range dependent Toeplitz covariance with application to matrix data whitening

Uses Software

• longmemo

Cites Work

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