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Bartlett-type formulas for complex multivariate time series of mixed spectra

Author

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  • Li, Ta-Hsin

Abstract

Asymptotic normality is established for the sample covariances and correlations of complex-valued multivariate time series with mixed spectra. Expressions for the asymptotic covariances are given that extend the classical results of Bartlett.

Suggested Citation

  • Li, Ta-Hsin, 1996. "Bartlett-type formulas for complex multivariate time series of mixed spectra," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 259-268, July.
    • Handle: RePEc:eee:stapro:v:28:y:1996:i:3:p:259-268
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    References listed on IDEAS

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    1. Li, Ta-Hsin & Kedem, Benjamin & Yakowitz, Sid, 1994. "Asymptotic normality of sample autocovariances with an application in frequency estimation," Stochastic Processes and their Applications, Elsevier, vol. 52(2), pages 329-349, August.
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    Cited by:

    1. Kliger, Mark & Francos, Joseph M., 2007. "Asymptotic normality of the sample mean and covariances of evanescent fields in noise," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1853-1875, November.

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    1. Kliger, Mark & Francos, Joseph M., 2007. "Asymptotic normality of the sample mean and covariances of evanescent fields in noise," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1853-1875, November.
    2. Song, Kai-Sheng & Li, Ta-Hsin, 2000. "A statistically and computationally efficient method for frequency estimation," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 29-47, March.

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