Asymptotic normality of the sample mean and covariances of evanescent fields in noise

Mark Kliger and Joseph M. Francos

Journal of Multivariate Analysis, 2007, vol. 98, issue 10, 1853-1875

Abstract: We consider the asymptotic properties of the sample mean and the sample covariance sequence of a field composed of the sum of a purely indeterministic and evanescent components. The asymptotic normality of the sample mean and sample covariances is established. A Bartlett-type formula for the asymptotic covariance matrix of the sample covariances of this field, is derived.

Keywords: Homogeneous; random; fields; Evanescent; random; fields; Asymptotic; normality (search for similar items in EconPapers)
Date: 2007
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