Wasserstein distance bounds on the normal approximation of empirical autocovariances and cross‐covariances under non‐stationarity and stationarity

The autocovariance and cross-covariance functions naturally appear in many time series procedures (e.g. autoregression or prediction). Under assumptions, empirical versions of the autocovariance and cross-covariance are asymptotically normal with covariance structure depending on the second- and fourth-order spectra. Under non-restrictive assumptions, we derive a bound for the Wasserstein distance of the finite-sample distribution of the estimator of the autocovariance and cross-covariance to the Gaussian limit. An error of approximation to the second-order moments of the estimator and an m-dependent approximation are the key ingredients to obtain the bound. As a worked example, we discuss how to compute the bound for causal autoregressive processes of order 1 with different distributions for the innovations. To assess our result, we compare our bound to Wasserstein distances obtained via simulation.