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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.
Series
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
Mathematics
Identifiers
URN: urn:nbn:se:liu:diva-69695ISRN: LiTH-MAT-R-2011/10-SEOAI: oai:DiVA.org:liu-69695DiVA: 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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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf