Asymptotic distribution of the estimators of a harmonic component in a multivariate time series under m-dependence
2011 (English)Report (Other academic)
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
Asymptotic distribution; Banded covariance matrix; Estimators; Harmonic regression; Multivariate normal distribution; Multivariate time series
IdentifiersURN: urn:nbn:se:liu:diva-69695ISRN: LiTH-MAT-R-2011/10-SEOAI: oai:DiVA.org:liu-69695DiVA: diva2:431322