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Asymptotics of the sample mean and sample covariance of long-range-dependent series
Published online by Cambridge University Press: 14 July 2016
Abstract
An asymptotic distribution is given for the partial sums of a stationary time-series with long-range dependence. The law of large numbers for the sample covariance of the series is also derived. The results differ from those given elsewhere in relaxing the assumption of the independence of the innovations of the series.
Keywords
MSC classification
- Type
- Part 7. Time series analysis
- Information
- Journal of Applied Probability , Volume 41 , Issue A: Stochastic Methods and their Applications , 2004 , pp. 383 - 392
- Copyright
- Copyright © Applied Probability Trust 2004
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