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Asymptotic distribution of the estimators of a harmonic component in a multivariate time series under m-dependence

Authors
  • Andrushchenko, Zhanna
  • von Rosen, Dietrich
Publication Date
Jan 01, 2011
Source
DiVA - Academic Archive On-line
Keywords
Language
English
License
Green
External links

Abstract

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

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