Title of article :
An asymptotic theory for sample covariances of Bernoulli shifts
Author/Authors :
Wu، نويسنده , , Wei Biao، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
Covariances play a fundamental role in the theory of stationary processes and they can naturally be estimated by sample covariances. There is a well-developed asymptotic theory for sample covariances of linear processes. For nonlinear processes, however, many important problems on their asymptotic behaviors are still unanswered. The paper presents a systematic asymptotic theory for sample covariances of nonlinear time series. Our results are applied to the test of correlations.
Keywords :
Nonlinear time series , Stationary process , Test of correlation , Covariance , dependence , Linear process , Martingale , Moderate deviation , Asymptotic normality
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications