An asymptotic theory for sample covariances of Bernoulli shifts |
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Authors: | Wei Biao Wu |
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Affiliation: | Department of Statistics, The University of Chicago, 5734 S. University Avenue, Chicago, IL 60637, USA |
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Abstract: | Covariances play a fundamental role in the theory of stationary processes and they can naturally be estimated by sample covariances. There is a well-developed asymptotic theory for sample covariances of linear processes. For nonlinear processes, however, many important problems on their asymptotic behaviors are still unanswered. The paper presents a systematic asymptotic theory for sample covariances of nonlinear time series. Our results are applied to the test of correlations. |
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Keywords: | primary, 60F05, 62M10 secondary, 60G10 |
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