ABSTRACT
In Chapter 3, we have encountered the infinite-dimensional MA(∞) process. A key quantity to analyze this model is the sequence of sample autocovariance matrices {Γˆu}. There we used some regularization on {Γˆu} to obtain consistent estimators for their population counterpart. We now wish to explore further asymptotic properties of {Γˆu}. These properties turn out to be quite interesting. Moreover, as we shall see later, they can also be used for statistical inference.
