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Asymptotics of the sample mean and sample covariance of long-range-dependent series
Part of
- Distribution theory
Wen Dai
Journal:

Journal of Applied Probability / Volume 41 / Issue A / 2004

Published online by Cambridge University Press:

14 July 2016, pp. 383-392

Print publication:

2004
- Article
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An asymptotic distribution is given for the partial sums of a stationary time-series with long-range dependence. The law of large numbers for the sample covariance of the series is also derived. The results differ from those given elsewhere in relaxing the assumption of the independence of the innovations of the series.

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Asymptotics of the sample mean and sample covariance of long-range-dependent series