An asymptotic theory for sample covariances of Bernoulli shifts

Wei Biao Wu

Stochastic Processes and their Applications, 2009, vol. 119, issue 2, 453-467

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: Asymptotic; normality; Covariance; Dependence; Linear; process; Martingale; Moderate; deviation; Nonlinear; time; series; Stationary; process; Test; of; correlation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (8)

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