The innovations algorithm can be used to obtain parameter estimates for periodically stationary time series models. In this paper we compute the asymptotic distribution for these estimates in the case where the underlying noise sequence has infinite fourth moment but finite second moment. In...

We establish convergence rates for sample autocovariances and autocorrelations of stationary time series which have a moment of order [alpha], 2[alpha]4. Convergence is uniform over all lags l where 0l[less-than-or-equals, slant]hN where hN is increasing with sample size N at a prescribed rate....