Asymptotic normality of sample autocovariances with an application in frequency estimation

Ta-Hsin Li, Benjamin Kedem and Sid Yakowitz

Stochastic Processes and their Applications, 1994, vol. 52, issue 2, 329-349

Abstract: The asymptotic normality of sample autocovariances is proved for time series with mixed-spectra, which extends the classical results of Bartlett for linear processes. It is also shown that the asymptotic normality remains valid after linear filtering, if the filter is strictly stable so that the end-point effect of finite sample can be ignored. The developed theory is then employed to establish the asymptotic normality of a recently proposed fast frequency estimation procedure.

Keywords: Asymptotic; normality; Autocovariance; Filter; Frequency; estimation; Mixed; spectrum; Spectral; analysis; Time; series (search for similar items in EconPapers)
Date: 1994
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