A CENTRAL LIMIT THEOREM FOR m(n) AUTOCOVARIANCES

Daniel M. Keenan

Journal of Time Series Analysis, 1997, vol. 18, issue 1, 61-78

Abstract: 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.

Date: 1997
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