Ergodic behavior and estimation for periodically correlated processes

DOI10.1016/0167-7152(92)90166-3zbMath0765.62081OpenAlexW1990445100MaRDI QIDQ1202311

Aleksander Weron, Jacek Leśkow

Publication date: 22 February 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(92)90166-3

zbMATH Keywords

spectral density estimationperiodically correlated processphi-mixingergodic behaviorCorrespondence Principledegree of chaoscomplex second-order stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

ASYMPTOTIC ANALYSIS ABOUT THE PERIODOGRAM OF A GENERAL CLASS OF TIME SERIES MODELS WITH SPECTRAL SUPPORTSON LINES NOT PARALLEL TO THE MAIN DIAGONAL ⋮ Periodograms asymptotic distributions in periodically correlated processes and multivariate stationary processes: An alternative approach ⋮ Weak law of large numbers for almost periodically correlated processes ⋮ Line spectral analysis for harmonizable processes ⋮ Estimation for almost periodic processes ⋮ A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation ⋮ Spectral analysis for harmonizable processes

Cites Work

• Continuous time periodically correlated processes: Spectrum and prediction
• Laws of large numbers for periodically and almost periodically correlated processes
• Periodically Correlated Processes and Their Stationary Dilations
• Probabilistic Properties of Deterministic Systems
• Nonparametric time series analysis for periodically correlated processes
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