Limit theorems for the sample autocovariance of a continuous-time moving average process with long memory
Probability
2015-11-24 v2
Abstract
We examine the asymptotic behaviour of the sample autocovariance in a continuous-time moving average model with long-range dependence. We show that it is either asymptotically Rosenblatt distributed or stable distributed. This shows that results by Horv\'ath and Kokoszka for discrete-time moving average processes with long memory also hold for continuous-time moving average processes.
Cite
@article{arxiv.1502.04851,
title = {Limit theorems for the sample autocovariance of a continuous-time moving average process with long memory},
author = {Felix Spangenberg},
journal= {arXiv preprint arXiv:1502.04851},
year = {2015}
}
Comments
32 pages, no figures