Journal of Time Series Analysis

A CENTRAL LIMIT THEOREM FOR m ( n ) AUTOCOVARIANCES

Journal Article

Many of the fundamental results in time series analysis depend on the joint asymptotic normality of a fixed number m of the sample autocovariances. However, in practice, the m is often chosen after the number of observations, n, is known, with m then treated as fixed. In this paper a Berry‐Esseen type result is proved for m(n) autocovariances for m growing at a certain rate.

Related Topics

Related Publications

Related Content

Site Footer

Address:

This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on StatisticsViews.com are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and StatisticsViews.com express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.