Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages
Work
Year: 1986
Type: article
Abstract: Let $X_t = \sum^\infty_{j=-\infty} c_jZ_{t-j}$ be a moving average process where the $Z_t$'s are iid and have regularly varying tail probabilities with index $\alpha > 0$. The limit distribution of th... more
Source: The Annals of Statistics
Authors Richard A. Davis, Sidney I. Resnick
Cites: 17
Cited by: 307
Related to: 10
FWCI: 6.186
Citation percentile (by year/subfield): 98.12
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze