WEAK-CONVERGENCE OF SAMPLE COVARIANCE MATRICES TO STOCHASTIC INTEGRALS VIA MARTINGALE APPROXIMATIONS

被引：43

作者：

PHILLIPS, PCB

机构：

来源：

关键词：

D O I：

10.1017/S026646660001344X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：528 / 533

页数：6

共 18 条

[1]

[Anonymous], 1987, ECONOMET THEOR

[2]

Brillinger DR., 1981, TIME SERIES DATA ANA

CHAN, NH ;

WEI, CZ .

[4]

HALL P, 1980, MARTINGALE LIMIT THE

PARK, JY ;

PHILLIPS, PCB .

[6]

PARK JY, 1989, IN PRESS ECONOMETRIC, V5

PHILLIPS, PCB .

[8] MULTIPLE TIME-SERIES REGRESSION WITH INTEGRATED PROCESSES [J].

PHILLIPS, PCB ;

DURLAUF, SN .

[9] TIME-SERIES REGRESSION WITH A UNIT-ROOT [J].

PHILLIPS, PCB .

[10] TOWARDS A UNIFIED ASYMPTOTIC THEORY FOR AUTOREGRESSION [J].

PHILLIPS, PCB .