Bartlett-type formulas for complex multivariate time series of mixed spectra

Asymptotic normality is established for the sample covariances and correlations of complex-valued multivariate time series with mixed spectra. Expressions for the asymptotic covariances are given that extend the classical results of Bartlett.

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Year of publication:	1996
Authors:	Li, Ta-Hsin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 28.1996, 3, p. 259-268
Publisher:	Elsevier
Subject:	Autocorrelation Covariance function Estimation Normality

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

Persistent link: https://www.econbiz.de/10005314055