On the asymptotic distribution of covariance estimates of stationary random sequences

Authors: Wolfgang Blume ^a; Gisela Wittwer ^b

Affiliations:	^a Zentram fr Rechenteehnik, Akademie der Wissenschaften der DDR, Berlin
	^b Sektion Mathematik, Technische Universitt Dresden, Dresden

DOI: 10.1080/02331888108801581

Publication Frequency: 6 issues per year

Published in: journal

Statistics, Volume 12, Issue 2 1981 , pages 193 - 199

Subjects: Mathematical Statistics; Statistical Theory & Methods; Statistics; Statistics for the Biological Sciences; Stochastic Models & Processes;

Formats available: PDF (English)

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We consider the covariance estimate ./GSTA_A_8801581_O_XML_IMAGES/GSTA_A_8801581_O_ILM0001.gif

of a stationary random sequence lcub

X _t

with zer mean. It is proved, that the distribution function of ./GSTA_A_8801581_O_XML_IMAGES/GSTA_A_8801581_O_ILM0002.gif

to the normal distribution with the order ./GSTA_A_8801581_O_XML_IMAGES/GSTA_A_8801581_O_ILM0003.gif

in the case of linear processes with finite 6th moments.

Keywords: Covariance estimate; asymptotic distribution; rate of convergence

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