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  • Search: subject:"Autocorrelation Covariance function Estimation Normality"
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Autocorrelation Covariance function Estimation Normality 1
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Li, Ta-Hsin 1
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Statistics & Probability Letters 1
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Bartlett-type formulas for complex multivariate time series of mixed spectra
Li, Ta-Hsin - In: Statistics & Probability Letters 28 (1996) 3, pp. 259-268
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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