Theory of Probability and Mathematical Statistics
Asymptotic normality of the correlogram estimator of the covariance function of a random noise in the nonlinear regression model
O. V. Ivanov, K. K. Moskvichova
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Abstract: The asymptotic behavior of the correlogram estimator of the covariance function of a random noise is studied for the nonlinear regression model. A functional theorem on the asymptotic normality of the estimator is proved in the space of continuous functions.
Keywords: Nonlinear regression model, stationary Gaussian process, covariance function, spectral density, correlogram estimator, random element, convergence in distribution, asymptotic normality
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