Sample autocovariances of long-memory time series
Lajos Horváth and Piotr Kokoszka
Source: Bernoulli
Volume 14, Number 2
(2008), 405-418.
Abstract
We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions on moments and the intensity of dependence, there are three types of convergence rates and limit distributions. In particular, a normal approximation with the standard rate does not always hold in practically relevant cases.
Keywords: limit distribution; long-range dependence; sample autocovariances
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.bj/1208872111
Digital Object Identifier: doi:10.3150/07-BEJ113
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