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- W4230103610 abstract "Let X(t) (t = 0, ± 1,…) be a zero mean, r vector-valued, strictly stationary time series satisfying a particular assumption about the near-independence of widely separated values. Given the values X(t) (t = 0, 1,…, T− 1), we construct the statistics: I(T)/XX(γ)(-∞λlt;∞),the matrix of second-order periodograms, FT/XX(λ),the matrix of sample spectral measures, fT/XX(λ), the matrix of sample spectral densities and c(T)/(u) (u = 0,± 1,…), the matrix of sample covariances. In the paper expressions are derived for the first- and second-order moments and the asymptotic distributions of IT/XX(λ), F(T)/XX(λ), f(T)/XX(λ) and c(T)/XX(u). Our purpose is to determine the form of these moments and to indicate the appearance of the Wishart distribution as an exact limiting distribution for f(T)/XX(λ). It has previously been suggested as an approximation." @default.
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- W4230103610 date "1969-08-01" @default.
- W4230103610 modified "2023-10-18" @default.
- W4230103610 title "Asymptotic Properties of Spectral Estimates of Second Order" @default.
- W4230103610 doi "https://doi.org/10.2307/2334430" @default.
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