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A CENTRAL LIMIT THEOREM FOR m ( n ) AUTOCOVARIANCES
Author(s) -
Keenan Daniel M.
Publication year - 1997
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00039
Subject(s) - mathematics , central limit theorem , limit (mathematics) , sample (material) , normality , mathematical analysis , statistics , chemistry , chromatography
Many of the fundamental results in time series analysis depend on the joint asymptotic normality of a fixed number m of the sample autocovariances. However, in practice, the m is often chosen after the number of observations, n , is known, with m then treated as fixed. In this paper a Berry‐Esseen type result is proved for m ( n ) autocovariances for m growing at a certain rate.
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