Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156133 | Stochastic Processes and their Applications | 2009 | 15 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Wei Biao Wu,