On the asymptotic normality and independence of the sample partial autocorrelations for an autoregressive process

A Note on the Asymptotic Normality of Sa

A Note on the Asymptotic Normality of Sample Autocorrelations for a Linear Stationary Sequence

✍ Shuyuan He 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 332 KB

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 Ä 0 for some {>1Â2, the asymptotic normality of the