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On Limit Theorems for Quadratic Functions of Discrete Time Series

  • E. J. Hannan
  • C. C. Heyde
Chapter
Part of the Selected Works in Probability and Statistics book series (SWPS)

Abstract

In this paper it is shown how martingale theorems can be used to appreciably widen the scope of classical inferential results concerning autocorrelations in time series analysis. The object of study is a process which is basically the second-order stationary purely non-deterministic process and contains, in particular, the mixed autoregressive and moving average process. We obtain a strong law and a central limit theorem for the autocorrelations of this process under very general conditions. These results show in particular that, subject to mild regularity conditions, the classical theory of inference for the process in question goes through if the best linear predictor is the best predictor (both in the least squares sense).

Keywords

Time Series Limit Theorem Classical Theory Central Limit Central Limit Theorem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

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Copyright information

© Springer New York 2010

Authors and Affiliations

  • E. J. Hannan
    • 1
  • C. C. Heyde
    • 1
  1. 1.Department of StatisticsAustralian National UniversityCanberraAustralia

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