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Asymptotic distribution of the estimators of a harmonic component in a multivariate time series under m-dependence
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- Andrushchenko, Zhanna (author)
- Energy and Technology, Swedish University of Agricultural Sciences, Uppsala, Sweden
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- von Rosen, Dietrich (author)
- Linköpings universitet,Matematisk statistik,Tekniska högskolan
- (creator_code:org_t)
- Linköping : Linköping University Electronic Press, 2011
- English 23 s.
- Series: LiTH-MAT-R, 0348-2960 ; 2011:10
- Reports (other academic/artistic)
Abstract
Subject headings
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- 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
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- Asymptotic distribution; Banded covariance matrix; Estimators; Harmonic regression; Multivariate normal distribution; Multivariate time series
- MATHEMATICS
- MATEMATIK
Publication and Content Type
- vet (subject category)
- rap (subject category)
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