On Autocovariance Estimation for Discrete Spectrum Stationary Time Series
MARYLAND UNIV COLLEGE PARK INST FOR SYSTEMS RESEARCH
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We provide a necessary and sufficient condition for the almost sure convergence and the strong consistency of the sample autocovariance of a discrete spectrum weakly stationary process. This also clarifies the estimation of the autocovariance function of a mixed spectrum weakly stationary processes.
- Statistics and Probability