Note on the asymptotic efficiency of sample covariances in Gaussian vector stationary processes

Journal of Time Series Analysis

Volumn 20, Issue 5, 1999, Pages 551-558

  Kakizawa, Yoshihide ^a  

^a HOKKAIDO UNIVERSITY   (Japan)

Author keywords

Asymptotic efficiency; Block Toeplitz matrix; Gaussian vector stationary process; Sample autocovariance matrix; Spectral density matrix

Indexed keywords

EID: 0040366105     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00156     Document Type: Article

References (8)

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2. GRAY, R. M. (1972) On the asymptotic eigenvalue distribution of the Toeplitz matrices. IEEE Trans. Inf. Theory 18, 725-30.
3. GRAYBILL, F. A. (1983) Matrices with Applications in Statistics, 2nd Edn. Belmont, CA: Wadsworth.
4. HOSOYA, Y. and TANIGUCHI, M. (1982) A central limit theorem for stationary processes and the parameter estimation of linear processes. Ann. Stat. 10, 132-53; correction: 21 (1993) 1115-17.
5. KAKIZAWA, Y. and TANIGUCHI, M. (1994) Asymptotic efficiency of the sample covariances in a Gaussian stationary process. J. Time Ser. Anal. 15, 303-11.
6. PORAT, B. (1987) Some asymptotic properties of the sample covariances of Gaussian autoregressive moving average processes. J. Time Ser. Anal. 8, 205-20.
7. WALKER, A. M. (1995) On results on Porat concerning asymptotic efficiency of sample covariances of Gaussian ARMA processes. J. Time Ser. Anal. 16, 237-48.
8. ZACKS, S. (1971) The Theory of Statistical Inference. New York: Wiley.