Anastasiou, Andreas; Kley, Tobias - In: Journal of Time Series Analysis 45 (2023) 3, pp. 361-375
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...
