Abstract
A central limit theorem is proved for the sample serial covariances of an ergodic, stationary, purely nondeterministic process whose linear innovations have their first four moments as for a sequence of independent random variables. The necessary and sufficient condition for the theorem is then that the spectra be square integrable.
Citation
E. J. Hannan. "The Asymptotic Distribution of Serial Covariances." Ann. Statist. 4 (2) 396 - 399, March, 1976. https://doi.org/10.1214/aos/1176343415
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