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Original Articles

On the asymptotic distribution of covariance estimates of stationary random sequences

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Pages 193-199 | Received 01 Feb 1980, Published online: 27 Jun 2007

References

  • Bartlett , M.S. 1955 . An Introduction to Stochastic Processes Cambridge in Russian Moscow, 1958
  • Bentkus , R. 1972 . On the asymptotic normality of the estimate of the spectral function (in Russian) . Lietuvos matematikos rinkinys , 12 : 5 – 18 .
  • Box , G.P. and Jenkins , G.M. 1974 . Time Series Analysis. Forecasting and Control San Francisco Cambridge, London, Amsterdam (in Russian: Moscow, 1974)
  • Brillinger , D.R. 1969 . Asymptotic properties of spectral estimates of second order . Biometrika , 56 : 375 – 390 .
  • Ibragimov , I.A. 1967 . The central limit theorem for sums of functions of independent random variables and for sums of the form ∑f(2 kt) (in Russian) . Teor. Verojatn. i primen , 12 : 655 – 665 .
  • Mühleis , W. 1980 . Konvergenzgesehwindigkeit der Verteilung einer Parameter-schätzung für stationäre Gaussche Folgen . Math, Operationsforsch. Statist,, Ser. Statistics , 11 : 341 – 360 .
  • Walker , A.M. 1954 . The asymptotic distribution of serial correlation coefficients for autoregressive processes with dependent residuals . Proc. Cambridge Philos, Soc , 50 : 60 – 64 .

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