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A Note on the Expectation of Products of Autocorrelations

โœ Scribed by J. K. Merikoski and T. M. Pukkila


Book ID
124289177
Publisher
Oxford University Press
Year
1983
Tongue
English
Weight
202 KB
Volume
70
Category
Article
ISSN
0006-3444

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We consider a stationary time series [X t ] given by X t = k= & k Z t&k , where [Z t ] is a strictly stationary martingale difference white noise. Under assumptions that the spectral density f (\*) of [X t ] is squared integrable and m { |k| m 2 k ร„ 0 for some {>1ร‚2, the asymptotic normality of the