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April, 1974 An Iterated Logarithm Result for Autocorrelations of a Stationary Linear Process
C. C. Heyde
Ann. Probab. 2(2): 328-332 (April, 1974). DOI: 10.1214/aop/1176996714

Abstract

Let $r(j)$ denote the $j$th autocorrelation based on a sample of $N$ consecutive observations on a stationary linear stochastic process. Under mild regularity conditions on the process, an iterated logarithm result is given for the convergence of $r(j)$ as $N \rightarrow \infty$ to the corresponding process autocorrelation $\rho (j)$.

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C. C. Heyde. "An Iterated Logarithm Result for Autocorrelations of a Stationary Linear Process." Ann. Probab. 2 (2) 328 - 332, April, 1974. https://doi.org/10.1214/aop/1176996714

Information

Published: April, 1974
First available in Project Euclid: 19 April 2007

zbMATH: 0283.62084
MathSciNet: MR368356
Digital Object Identifier: 10.1214/aop/1176996714

Subjects:
Primary: 62M10
Secondary: 60F15

Rights: Copyright © 1974 Institute of Mathematical Statistics

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Vol.2 • No. 2 • April, 1974
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