Note on the Asymptotic Efficiency of Sample Covariances in Gaussian Vector Stationary Processes

DOI10.1111/1467-9892.00156zbMath0934.62092OpenAlexW2087277171MaRDI QIDQ4939815

Yoshihide Kakizawa

Publication date: 1 March 2000

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00156

zbMATH Keywords

asymptotic efficiencyblock Toeplitz matrixspectral density matrixsample autocovariance matrixGaussian vector stationary processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects ⋮ Efficient nonparametric estimation of generalised autocovariances ⋮ On the asymptotic properties of multivariate sample autocovariances ⋮ ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA

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