


























We examine the asymptotic behaviour of the sample autocovariance in a continuous-time moving average model with long-range dependence. We show that it is either asymptotically Rosenblatt distributed or stable distributed. This shows that results by Horváth and Kokoszka for discrete-time moving average processes with long memory also hold for continuous-time moving average processes.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。