More limit theory for the sample correlation function of moving averages

Richard Davis and Sidney Resnick

Stochastic Processes and their Applications, 1985, vol. 20, issue 2, 257-279

Abstract: Let Xt = [Sigma][infinity]j=-[infinity] cjZt - j be a moving average process where {Zt} is iid with common distribution in the domain of attraction of a stable law with index [alpha], 0

Keywords: sample correlation function regular variation stable laws moving averages point processes ARMA models; central limit theorem (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (15)

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