Asymptotic Inference of Autocovariances of Stationary Processes

@inproceedings{Xiao2011AsymptoticIO,
  title={Asymptotic Inference of Autocovariances of Stationary Processes},
  author={Han Xiao and Wei Biao Wu},
  year={2011}
}
Abstract: The paper presents a systematic theory for asymptotic inference of autocovariances of stationary processes. We consider nonparametric tests for serial correlations based on the maximum (or L∞) and the quadratic (or L2) deviations. For these two cases, with proper centering and rescaling, the asymptotic distributions of the deviations are Gumbel and Gaussian, respectively. To establish such an asymptotic theory, as byproducts, we develop a normal comparison principle and propose a… CONTINUE READING

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