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Asymptotic Normality of Cross-correlogram Estimates of the Response Function

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  • Valery Buldygin
  • Frederic Utzet
  • Vladimir Zaiats

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  • Valery Buldygin & Frederic Utzet & Vladimir Zaiats, 2004. "Asymptotic Normality of Cross-correlogram Estimates of the Response Function," Statistical Inference for Stochastic Processes, Springer, vol. 7(1), pages 1-34, March.
    • Handle: RePEc:spr:sistpr:v:7:y:2004:i:1:p:1-34
    DOI: 10.1023/B:SISP.0000016454.89610.35
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    References listed on IDEAS

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    1. Fox, Robert & Taqqu, Murad S., 1987. "Multiple stochastic integrals with dependent integrators," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 105-127, February.
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    Cited by:

    1. Anh, V.V. & Leonenko, N.N. & Sakhno, L.M., 2007. "Statistical inference using higher-order information," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 706-742, April.

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