IsHow fast would the observed autocorrelation in a sample converge to the true autocorrelation (say, an AR(x) process)? Are there any resultresults like the Berry-Esseen theoremCentral Limit Theorem - which says that the sample mean of a random sample converges to the true mean at a rate of $\frac{1}{\sqrt{n}}$ - or the Berry-Esseen theorem that would apply to the observed autocorrelation? I.e. how fast would the observed autocorrelation in a sample converge to the true autocorrelation (say, an AR(x) process)?
This question sprung from a minor point around this answer (rate of convergence of the observed autocorrelation vs rate of convergence of the confidence band in an ACF - we do know the latter) butand I thought it was sufficiently general to merit its own question.