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Asymptotic distribution of the estimators of a harmonic component in a multivariate time series under m-dependence
Energy and Technology, Swedish University of Agricultural Sciences, Uppsala, Sweden.
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
2011 (English)Report (Other academic)
Abstract [en]

Multivariate time series with definite harmonic structure is considered, in the special case when the marginal univariate time series are independent and asymptotically stationary to second order. The asymptotic distribution of the estimators of a harmonic component under $m$-dependence is found

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press , 2011. , 23 p.
LiTH-MAT-R, ISSN 0348-2960 ; 2011:10
Keyword [en]
Asymptotic distribution; Banded covariance matrix; Estimators; Harmonic regression; Multivariate normal distribution; Multivariate time series
National Category
URN: urn:nbn:se:liu:diva-69695ISRN: LiTH-MAT-R-2011/10-SEOAI: diva2:431322
Available from: 2011-07-20 Created: 2011-07-19 Last updated: 2011-07-20Bibliographically approved

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von Rosen, Dietrich
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Mathematical Statistics The Institute of Technology

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ReferencesLink to record
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