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Abstract: We find the asymptotic distribution of the sample autocovariances oflong-memory processes in cases of finite and infinite fourth moment. Dependingon the interplay of assumptions on moments and the intensity of dependence,there are three types of convergence rates and limit distributions. Inparticular, a normal approximation with the standard rate does not always holdin practically relevant cases.



Author: Lajos Horváth, Piotr Kokoszka

Source: https://arxiv.org/







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