Asymptotic normality of the sample mean and covariances of evanescent fields in noise

We consider the asymptotic properties of the sample mean and the sample covariance sequence of a field composed of the sum of a purely indeterministic and evanescent components. The asymptotic normality of the sample mean and sample covariances is established. A Bartlett-type formula for the asymptotic covariance matrix of the sample covariances of this field, is derived.

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Year of publication:	2007
Authors:	Kliger, Mark ; Francos, Joseph M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 98.2007, 10, p. 1853-1875
Publisher:	Elsevier
Keywords:	Homogeneous random fields Evanescent random fields Asymptotic normality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005093718